sorry about the broken up post... but I had a few more thoughts after reviewing what I originally wrote, being familiar with the teachings of both churches.... (I spent a few years in an Assemblies of God church as a teen.)
We do derive the sacrament of confirmation from some of the very same scripture passages that Pentecostal believers have understood as "Baptism of the Spirit." For example, Mark 1:8 "I baptize you with water, but he will baptize you with the Holy Spirit." Also in the Acts of the Apostles, the laying on of hands for the receiving of the Spirit by one of the Apostles was often mentioned as following baptism of new believers. The biggest difference is that we do consider it a sacrament, which is still ordinarily administered by a bishop (the successors of the Apostles), or in some specific situations, a priest.
Regarding when we become Christians.... most Catholics are baptized as babies. We believe the sacraments, again, accomplish spiritually what they symbolize and impart an outpouring of sacramental grace, which strengthens us to live a more Christian life. Therefore, we do not withhold baptism until the age of reason as many protestant churches do. It sets us apart, even from infancy, as belonging to the Lord and being a part of His mystical body, the Church. So yes, baptism is when we officially beging our walk with Christ as a Chirstian. However, this does not mean you can't in some way be Christian before baptism. For those of us who are not baptized as infants and come to the Church after the age of reason, entering into baptism requires a measure of faith. An adult wouldn't ask for baptism, after all, if he didn't already believe it to be of value. So the Church teaches that if one is seeking baptism, but has not yet received it, were to die, that person may be saved because of his desire to be baptized. In other words, he is already joined in faith to the Church even though he hasn't yet received the sacrament.
As to conversion.... well we Catholics believe this to be a life long pursuit. Many were raised in the faith. Some have never parted form it, growing slowly but surely stronger in faith and love of the Lord. Others are raised in the faith, but wander at some point in their lives and return. Some are baptized but not taught the faith and struggle as adults to overcome that lack. Others, like myself, have very dramatic "conversion" stories to tell that started us on our journey into the Catholic faith. That life changing dramatic moment in my life, however, was only the beginning of that journey. It continues to be a daily struggle to live my life more and more as the Lord has calls me. And salvation, attaining heaven, is our end goal, not something that happens up front. In other words, we do not teach that salvation is guaranteed at any point, but that we must continue to strive for perfection, all the while depending on His grace to bridge the gap.