I upgraded from ME to XP, and it's given me no problems.
I have 1 drive with 2 partitions, C: and D:.
When I installed XP, I told it to convert C: (where ME was installed) from FAT32 to NTFS. Thus, it wiped my OS (which, normally, is avoided

). But D: is still FAT32.
If you have 1 drive, then I recomend backing up to CD-R or another drive (my 20GB takes about 30 CD-Rs). Then you can copy them back on w/o problems.