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When i convert my computer to linux do i lose all off my data on my windows XP side?
There are different ways to install. You can use Ubuntu only, you can dual-boot Windows and Ubuntu, you can install Ubuntu inside Windows like an application, you can install in a pendrive or external hard drive, you can run a Virtual Machine inside of Windows (but you probably don't have enough memory for the latter just now). You don't need to lose all your data if you don't want too.
what is Pre-installed when i boot from a disk to change to linux. AKA is there a Messenger of some sort ((like MSN?)) i know there is internet, what else is there?
There are messengers which you can use MSN on. There are about 22,000 available packages - a bit much to go into now.
Anything i should know! Problems i could run into?
You only have 256Mb of RAM and Ubuntu will run a little slowly. Can you get more RAM? If not, you might be better to use a lighter system like Xubuntu