You shouldn't lose data using CONVERT, but there are issues with doing the conversion. Whatever you decide, do back up your data first.
The issues:
1. CONVERTing to NTFS will cause the MFT to be placed wherever there may be room for it on the drive rather than at the "front" of the drive. This will compromise performance. Not only that but, if the drive is fragmented, there is every risk that the MFT will be created in a fragmented state. That will further compromise performance. Defragging the drive may at least prevent the MFT from being fragmented at creation time. When you choose NTFS formatting from W2K setup, the MFT is created as a contiguous file at the front of the drive, for optimum performance.
2. Using the CONVERT utility will also force your allocation unit (cluster) size to be 512 bytes. That's a lot of clusters on a 45 gigabyte drive. It will contribute to file system overhead, and the small clusters will tend to cause fragmentation of the MFT again. You can reduce the effect by performing frequent defragging of the MFT. (There are several utilities available that can do this. Most can be set to defrag the MFT at boot time, the method recommended by Microsoft.) The ideal cluster size for most NTFS partitions is 4,096 bytes. That is the largest cluster size which allows compression and encryption.
If you can talk yourself into the extra effort, a clean installation would probably be worth it in the long run.
Hope it goes well.
Regards,
Jim