You only stand to lose what you didn't backup. And the wireless may stop working unless you get lucky and there is a driver from Microsoft on the XP CD. I've yet to see such, so I'll write that it won't work.
Changing the OS is never without risk. Save what you can't lose elsewhere.
As to the Wifi, go check if the CD that came with it has XP noted. If not, download the drivers now for use later.
That way you can get drivers for the motherboard, video, audio, USB and what else you'll need later.
With all of the problems with ME, I would like to install XP. Will I lose any information on my hard drive? Will it affect my wireless connection?