I've tried your Free version and then purchased Pro but all my data was lost after installation. How to recover it?

EPIM stores all data in .epim database files. You only need to open (File -> Open) your old database in EPIM Pro version. The default paths for EPIM Free databases are:
C:\Documents and Settings\User Name\Application Data\EssentialPIM - for XP
C:\Users\User_name\AppData\Roaming\EssentialPIM - for Vista, 7 and 8
If you can't find it anyway than try to search *.epim files on your computer.