Read this site for more information:
http://www.mozilla.com/en-US/firefox/switch.html
There are no consequenses to switching over. The only thing that will change is your internet. None of your personal files will be messed with. You will not have to remove IE first. All you have to do is go to the website and click "download", and that's it. It's no different from downloading a newer version of IE.
Brainstorm It does go very slow with the older versions of IE, but once I downloaded IE 8, I saw a great improvement. I'm guessing the download speed will be even faster with firefox, but with IE 8 it only takes a few seconds. Before I upgraded to IE 8, I would literally walk away from my computer for about 5-10 minutes, waiting for brainstormer to refresh.
There is no reason to be paranoid about switiching to firefox. But if you really want to stick with IE, make sure you download the latest version of it and you should be fine. If you do download firefox, you can switch back to IE at any time.
I am actually switching over to firefox myself because I keep hearing rave reviews about it, and I'm just curious to see the results for myself.