If you only have the one hard drive, and you perform a Destructive Recovery (as HP calls it), without backing it up on a CD, DVD, secondary hard drive, etc, yes, you will lose it, because it reformats the hard drive. My HP (a1610n) also has a Non-Destructive Recovery, which doesn't reformat the hard drive. But, they recommend you do a backup before you do that, just in case.
In my case, I backed up everything I wanted to save on DVD and the secondary hard drive. Then, I restored it to original configuration, ran the Destructive Recovery, plugged secondary hard drive back in along with the other stuff (CD burner, keyboard), and it worked out great.
It is important to back up your essential stuff one way or another before you attempt even the Non-Destructive Recovery, though, just in case something goes wrong.
In the case of my computer, from bootup I toggle the F10 key repeatedly to get to the System Recovery screen.
You should be able to find your 'puter's method on its web site, whatever it is.
I'm only telling you what I know. I don't even resemble an expert. Your mileage may vary.
My HP is a a320n. Haven’t seen a Destructive Recovery. M-teen here swears to know how to back up everything and was clearing out some old documents before heart throb called and made a quick escape. ;)