did it say that your boot mbr was not standard and it could lead to loss of the paritioning table?
I've done it quite a few times (always gives me that warning), and it's never lost a thing. What that does is wipe Lilo from your MBR, and you lose the ability to boot linux. If you still want linux (although I don't think you do, from your post), you could always just pop in the linux install disc and just install the bootloader (if your distro has the ability to do that... I know a lot of install discs allow you to do that... mepis does, I know for sure)
You COULD loose data, but I haven't. Doesn't mean you won't, but I haven't ever.