Well first you would want to have everything backed up. Any files you made, downloaded, etc. Any settings/passwords you have (Internet, Sites, Emails, etc). Then any programs that you use you would want to make sure you have the install disc (CD, floppy, etc). Something I should have done when upgrading to SP2 (long story).
I'm assuming you bought the upgrade version of XP (since you already had WinME). Now don't quote me on this but if I remember right, when you install XP on a clean drive, it will ask you for your WinME CD to make sure you qualify for an upgrade. Maybe someone else here can verify this.
When your ready, just reboot your computer with the XP disc in the drive. It will go through some options and you would want to choose format c:\. Make sure you format the correct drive. When I did it once, I picked the wrong drive and well, lost everything. That's even a longer story...
Just have to remember that when you format, everything will be gone. It will be like getting a new PC when your finished.
If you use Outlook Express for your emails, backup the store folder. To find this, go into Outlook, then to Tools, Options, Maintenance, and click on "Store Folder". This would be the directory your emails are saved. Back that up onto a different drive/disk.
If you are having doubts about doing this, then just install XP on top of ME (upgrade option) and see how things work out. I just know that a clean install will work better as it gets rid of some useless junk clogging up the system.