Are the drivers for the modem/network card etc. installed? You're not gonna ping anything if they're disabled. I'm pretty sure TCP/IP is installed by default per network device in WinME, although it might rquire some configuring according to your ISPs instructions, so you'll have to look there. Maybe try the hardware in question in another machine.

It's likely a driver/configuration/hardware problem if it still does that after you reinstall Windows a few times.