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 is going to be installed on your computer, it is 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 the 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. Even though this is normally not necessary, there might be situations in which you could be required to reinstall your operating system's boot loader to make the system boot or in a worst case even have to reinstall the complete operating system and restore your previously made backup.