I have done exactly the same thing this evening. I think you wll find that MS have stopped supporting windows 98SE.
You should be able to download Internet Explorer 6 and service Pack 1.
When it says where do you want to download it to? a box appears, and you select to disc. You then select the folder that you wanted to go to, and save it on your computer.
Open your computer in Windows Explorer, locate where you have put the file, and double-click on it and it will install itself. I am almost sure that you have got to reboot to make this effective.