It shouldn't lock your handset, as its already running a custom rom, but you never know with Orange.
Maybe try flashing it without your sim in and with a goldcard just to be safe.
Do this first:
http://androidforums.com/desire-all-things-root/117710-goldcard-tool.html
It makes your sd card into a gold card. Backup you contents first.
Then, download rom manager from market and install.
Download the rom linked earlier and below:
[ROM] [30/09] Pre-rooted Stock Froyo (2.10.405.2) [Optional mods] - xda-developers
Put it on your SD card, somewhere you can find it.
In Rom manager choose the "Flash clockworkmod recovery" option.
Also, download titanium backup, go to backups and select batch from menu
Now you are prepared.
To actually flash, open rom manager, choose "Install Rom from SD card", select your zip file and tick the wipe box.
Then just let it do its stuff.
Later on, if you need you can restore some of the stuff lost via titanium.