If an installation CD-ROM from the Windows 2000 family is inserted, the user is prompted to "upgrade" to Windows 2000 with the reason that Windows Me is an older version. While this is not technically so (Windows Me was released several months after Windows 2000), Windows Me is in fact derived from the older, monolithic MS-DOS codebase (Windows 4.x) while Windows 2000 is the first of the NT 5 family, thereby constituting the latter as an upgrade.
In short Sky's installation software will not work under WinMe.
It looks like you will need to upgrade your OS, not only will that help install your internet, but also get rid of the worst MS-OS of all time.