Slax is a supposed to be a LiveCD. "Dual Booting" it should be a matter of opening the CD-ROM drive and putting the disc in every time you want to switch. If you want a more permanent solution, resize the windows partition and install Slackware or the more newbie-friendly Vector. LILO handles dual-booting generally.
On a side note: Windows ME is terrible, even Windows 98SE is better than that. You should really install SE, or even better, 2000. I know 2000 can be kind of expensive, but SE should be pretty cheap.