I don't remember the exact way to do it for WinME, but I'd imagine it involves going into the properties for the connection and disable File and Printer Sharing. Also disable Client for Microsoft Networks if you want, but that one's more for you connecting to others instead of thew other way round.

If it's the same connection as you use for internet access, it could be a hacker on your PC for all you know, unless you have a firewall or router and are certain you've set it up correctly.