does it work on 9x

No. Nobody develops for an OS with a less of a market share than even Linux.

If you mean "will it run on ME", probably so. WUD is only good for downloading NT-type (above NT4) stuff though.

If you mean "for ME fixes", then no, but there are several subjects relating to it.

Windows ME is unsupported by Microsoft, and therefore the update list is constant. Basically, this eliminates any usefulness that something like WUD would have. If you download everything you need, then the only problem that remains is installing them each time you were to reload the OS.

Something like this can be useful along those lines to not have to click through the screens for each one.

http://www.msfn.org/board/Batch-Patcher-t96854.html

(of course, there's always the third-party patches and things that have been put together in places like this - if you get into those, things will change a little. But something like WUD would still not be too useful in the case of 98/ME)