I need to change from FTP/RDS to a local site/remote site.
Will my site go down if I delete the existing ftp configuration, and define a new site?
Will I lose all the pages in dreamweaver?
None of the above.
Your site definition is used by Dreamweaver locally so that Dreamweaver knows where your local and remote files are located so that it can manage file paths and links. That's all
Your site server knows nothing about Dreamweaver's site definitions. It just hosts files.
Your local files on your hard drive know nothing about Dreamweaver's site definitions. They just sit on your hard drive.
The only way to lose files is to physically delete them, either via Dreamweaver or via your operating system e.g. Windows Explorer.
Thank you, thank you, thank you!!!!