Downloading with Win ME

This would be difficult to determine,but I would think that you can download any Win98 version since ME is an upgrade to it.
I would do a backup to the installed version before installing the download,also check the version of the file you currently have before downloading another version

There's no consistent answer on this. It depends on the software and each manufacturer is different.

If the software that you are downloading is to run hardware (ie a driver for a USB device or something similar), then probably installing Win9x software on WinMe will not satisfactorily run on your device.

If the software is pure software (not designed to run any external or internal devices), then it won't hurt to try it. You can always uninstall it.