I'd like to know how I can take off the annnoying windows ME opening music and add instead my own short MP3 file that will play every time I open and close my computer.?

In control panel, it will be either "Sounds", "Sounds and audio devices", or "multimedia". One of those should contain a list of commands and sounds linked to them. Start Windows and Exit Window sare the startup and shutdown commands, and you can change the sounds from there.