That will totally wipe your phone to an out of the box state, providing you didn't update it via Zune to a later version of the operating system than the phone came with.
EG if when you got the phone and it came with Mango (7720) and you updated it with Zune to 7740, you will be stuck with 7740.
It will totally wipe your phone though, you can't install windows yourself unless you flash a ROM onto your Lumia.
(No idea if they are even available yet for Lumias)
If you have used Zune to update, you could always try it's restore option.
What problems are you having with your phone Bure?