1. If i go to phpMyAdmin, and change all the tables from myISAM to innoDB, can I cause some mess in the existing data?
no 
2. I read somewhere that myISAM lock the tables and excecute the update queries one by one, and that innoDB does not use locks. Is that true?
not quite true -- myisam locks the entire table, but innodb locks only the row(s) affected
3. If I use the innoDB, will those update queries be performed faster?
yup 
4. If i add indexes on columns , that I frequently use in my select and update queries, will those updates and searches be performed faster with innoDB compared with myISAM?
searches no, updates yes
5. I have primary keys in all tables. Will those primary keys continue to work after I switch the engine,
yup 
Any links where I can read how can I perform all those changes trough phpMyAdmin will be deeply appreciated.
link not necessary, just run this query in the SQL tab --
Code:
ALTER TABLE foo ENGINE=innodb
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