It has nothing to do with Window ME, it has to do with Pentium 4 that will trigger this error message.
But fortunately , and as Kerensky noticed ,
there is a solution.
I re-quote it there, in the case some new Smac/Smax player has the same problem and the Firaxis SMAC website disappear
Double click on My Computer
Double click on the C: Local Drive (your Hard Drive or the drive that the game is installed to)
Double click on the Program Files Folder
Double click on the Firaxis Games Folder
Double click on the Sid Meier's Alpha Centauri Folder
Double click on the Alpha Centauri.ini File (The file looks like a read me text file with a little gold symbol on it).
Once the file is open in Notepad, change:
ForceOldVoxelAlgorithm=0
to
ForceOldVoxelAlgorithm=1
Be sure to save your changes, then run the game. You may still receive the error message. If it occurs, click OK and the game will load fine.
When i got a Pentium 4 i had the same exact error (it worked perfectly on my Pentium 2 before) and this very simple change solved it totally.
The error "CPU not supported" message continue to appear , but the game is now working flawlessly .
It would be nice for potential new player or player that has upgraded their CPU to have this important information "sticky" on this forum (in the case the Search engine is disabled one day).