Before you start, make sure to back up every file that is now on your system. If this is the first time a non-native operating system has been installed on your computer, it's quite likely you will need to re-partition your disk to make room for Debian GNU/Linux. Anytime you partition your disk, you run a risk of losing everything on the disk, no matter what program you use to do it. The programs used in installation are quite reliable and most have seen years of use; but they are also quite powerful and a false move can cost you. Even after backing up, be careful and think about your answers and actions. Two minutes of thinking can save hours of unnecessary work.
If you are creating a multi-boot system, make sure that you have the distribution media of any other present operating systems on hand. Especially if you repartition your boot drive, you might find that you have to reinstall your operating system's boot loader, or in many cases the whole operating system itself and all files on the affected partitions.