There are several reasons you might want to download Windows Me. For example, if you need to install Windows Me but you've lost your original Windows Me Setup CD, downloading Windows 95 would get you out of that bind.
You might also might want to download Windows Millennium Edition just to try out the operating system or to put it on a second computer at home. Windows can be expensive so finding a place to download an older operating system like Windows Me for free is an enticing thought.
Pretty much everything is available on the Internet for free, right?
No matter where you find it, any Windows Me download you find online is illegal. The only legal course of action when you need a copy of Windows Me is to actually buy a new copy of Windows Me. It's that simple.
It's important to note as well that even if you did download Windows Me, what you would get is an image of the Windows Me Setup CD. For example, you would probably download an ISO file like windows-me.iso, or something like that. You would then burn that ISO image to a CD that you would then use to install Windows Me.
In many ways, however, what you actually pay for when you legally purchase a copy of Windows Millennium Edition is the product key (sometimes referred to as a CD key or key code, or incorrectly as the serial number). This unique number is required during an installation of Windows Me. So even if you did download Windows Me, you would still need a valid Windows Me product key to install and use Windows.
Note: If you actually do have a Windows Me CD but you're looking for your product key, there is a way to find it. See How to Find the Windows Me Product Key for easy instructions.
If you do in fact have your Windows Me product key but you're missing your Setup CD, you could argue that, since you did actually purchase Windows Me and you have a valid product key, downloading a Windows Me CD image from anywhere should be within your rights.
At this time, however, the only legal way of obtaining a Windows Me CD is from from a legal purchase of the operating system. I would suggest contacting Microsoft for a replacement Windows Me Setup CD, assuming you can show proof of purchase. However, since Windows Me is a retired operating system, you have trouble doing that.