No, you shouldn't lose anything.
Windows Live Mail (WLM) will automatically import Windows Mail messages, accounts, and settings into it. Contacts will have to be manually imported from within WLM. (Tools, Contacts, File, Import, Address book for current Windows User.) To see the Menu bar, press ALT+M and check "Show all menus". To make WLM the default email program, click on Tools, Options, and both Make Default buttons in WLM.
You can even continue to use Windows Mail afterwards with WLM if you like.