Here's my list of security programs that work well on WinME.
"Something that runs on WinME will run on anything" 
Therefore, I can safely state that these programs will run equally well on other versions of Windows.
I have installed and extensively used ALL of these programs, but am (at present) only running those marked with an asterisk (*). RT means it runs in real-time. OD means it is on-demand only. F denotes free programs . . .
HIPS -
*Online Armor- RT (Please see NOTE below), System Safety Monitor - RT
Anti-Trojan/IDS - *
A-squared- RT, WinPatrol Plus RT, Arovax RT F, WinSonar RT F
AntiVirus -
*DrWeb- RT, Avira AVPE RT F, EZAV RT
Script Protection -
*Script Defender- RT F
Honey Pot - *RegRun WinBait- RT
AntiSpam -
*Spamihilator- active only while receiving email F
Registry Scanner - MJRegWatcher- RT F, RegRun's Watchdog- RT
Firewall -
*Kerio 2.1.5- RT F
HOSTS -
*MVPS- RT F
Cookie Control -
*CookieMonster- OD F
File Integrity Monitor -
*Watcher- OD F, Fingerprint- OD F, Sentinel- OD F
Anti-Ads - *AdAware- OD F
Anti-Spy - *Spybot S&D- OD F
If-all-else-fails -
*Rollback- OD
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
NOTE: Online Armor is available in TWO versions: (1) OA-Basic, & (2) OA-AV+ . . .
*** OA-Basic includes the following security protections: Application firewall, Spam killer, Web-surfing guard, HOSTS guard, Email guard, Spam killer, IE extensions guard, key loggers guard, trusted/untrusted/protected web sites.
***OA-AV+ includes all of the protections in OA-Basic PLUS it also includes Kaspersky Anti-Virus.
***A full-scope firewall is in final development stages. It will be included in both OA-Basic and OA-AV+.
***I have licenses for both versions of OA. I alternate between them (using Rollback) in order that I can represent WinME usage information on OA's support forum.
***AFAIK OA and System Safety Monitor are the only HIPS that run on WinME as well as Win9x, WinXP, & 2K systems.