The Mega Man Lore always confuses me. In the original games, they are brother and sister. In the original cartoon they are brother and sister. In the X Series they are either dead or deactivated somewhere. In NT Warrior based on the Battle Network Games, they are two separate programs. The one that weirds me out the most is the N64 and PS1 series, where they're implied to be in a love triangle with Tron Bonne. They soften the blow by saying he's one of many Mega men that have been made so that can't be the original Mega Man, but at the same time he has the same name as her brother. To make matters worse, he walked in on her in the shower. Typical anime pervert moment.
Much of why I'm mentioning all this is because I see they are close and I can't tell if it's a brotherly sisterly bond or an N64 bond.