In general, this should be a cakewalk. And, you should do it - both XP and W2K are much more stable than WinME.
However, there are a couple caveats to this advice. First, make sure your hardware is supported on your new OS of choice. If you bought your computer from a big name (like Dell) in the last year or two, it's very likely that your system will run the new OS fine. If you bought it from the clearance rack at Bill & Ted's Most Excellent Computer Shop and Lawn Service, then you will need to do fairly extensive research.
Next, get the proper drivers for your hardware for the new OS. Chances are, the OS will have the drivers already on the OS CD. But, you don't want to have the OS installed then find out you need to DL a driver from the net for your NIC - and you can't get to the net `cuz your NIC won't work w/o the driver. Of course, if you have another `puter, you can ignore this problem

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Also, getting the OS drivers for your hardware is another way to be sure that your hardware actually does work under that OS.
This is a bit of overkill, but it does cut down on the hair loss during an OS upgrade

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