I have to write a CLR function to convert old data. I really do not have any knowledge about doing something like this. I really do not know where to start. Can someone help me and tell me the steps? Do I need to create a C function project, etc.?
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You can do this in C#.
Read the MSDN documentation for CLR functions on the Microsoft website.
Create CLR Functions: http://msdn.microsoft.com/en-us/library/ms189876.aspx
How to: Create and Run a CLR SQL Server User-Defined Function http://msdn.microsoft.com/en-us/library/w2kae45k%28v=vs.80%29.aspx
These sites provide examples in C# with explanation.