If you do nothing about it, nothing will happen. They can't legally lock you out of your computer. It's there as a nuisance.
Get your shit backed up somewhere else, not on a partition on your comp. That way is too complicated, like Preach said. I would say invest in an external hard drive, 500GB comes for under $100 these days, and just put all your files on there. You can still install a bootleg version of Windows and here's where your problem comes from.
The reason that message pops up is because you installed Windows Genuine Advantage from Windows Update. What you do, then, is install whatever version of Windows you want. If it's pirated, turn auto updates OFF. Then, check for updates manually, and deselect the one that says WGA or anything like that on it. You can probably even hide it. Just never download it, or else that's how they get you.