It's simple. Don't marry her. Please think about what the Holy Qur'an says:
3:83 Do they seek for other than the Religion of Allah?-while all creatures in the heavens and on earth have, willing or unwilling, bowed to His Will (Accepted Islam), and to Him shall they all be brought back.
3:84 Say: "We believe in Allah, and in what has been revealed to us and what was revealed to Abraham, Isma'il, Isaac, Jacob, and the Tribes, and in (the Books) given to Moses, Jesus, and the prophets, from their Lord: We make no distinction between one and another among them, and to Allah do we bow our will (in Islam)."
3:85 If anyone desires a religion other than Islam (submission to Allah), never will it be accepted of him; and in the Hereafter He will be in the ranks of those who have lost (All spiritual good).
3:86 How shall Allah Guide those who reject Faith after they accepted it and bore witness that the Messenger was true and that Clear Signs had come unto them? but Allah guides not a people unjust.
3:87 Of such the reward is that on them (rests) the curse of Allah, of His angels, and of all mankind;-
3:88 In that will they dwell; nor will their penalty be lightened, nor respite be (their lot);-
So do consider the import of these verses. This is speaking directly to you. And keep in mind this Hadith:
Narrated Nafi': Whenever Ibn 'Umar was asked about marrying a
Christian lady or a Jewess, he would say: "Allah has made it unlawful for the believers to marry ladies who ascribe partners in worship to Allah, and I do not know of a greater thing, as regards to ascribing partners in worship, etc. to Allah, than that a lady should say that Jesus is her Lord although he is just one of Allah's slaves." (Book #63, Hadith #209)
(Sahih Bukhari)
In fact, you should invite this woman to Islam and tell her of this Hadith:
Narrated Abu Burda's father: Allah's Apostle said "Three persons will have a
double reward: 1. A Person from the people of the scriptures who believed in his prophet (Jesus or Moses) and then believed in the Prophet Muhammad (i .e. has embraced Islam). 2. A slave who discharges his duties to Allah and his master. 3. A master of a woman-slave who teaches her good manners and educates her in the best possible way (the religion) and manumits her and then marries her." (Book #3, Hadith #97)
(Sahih Bukhari)
And it says in the Holy Qur'an, confirming this exactly:
57:28 O ye that believe! Fear Allah, and believe in His Messenger, and He will bestow on you a double portion of His Mercy: He will provide for you a Light by which ye shall walk (straight in your path), and He will forgive you (your past): for Allah is Oft-Forgiving, Most Merciful.
So please do consider what your Book says, the Book of Allah, the unchanged Holy Book revealed to the Seal of the Prophets, Muhammad (saw). If you turn Christian, just know that you will not be following the religion of Jesus (as), but the Christianity of today is the distorted religion of pagans who twisted the beautiful religion Allah established for the Jews. This religion is no more than the religion of the Dajjal now, and it is not that which Jesus (as) brought himself.
Do not fall into the trap of the Dajjal. The Christianity of today is the worst Fitnah against Islam. Stay away from it. Bring the Christians to Islam. If you baptize in their river of water, it will only land you into fire. And if you accept their doctrine, then you have accepted a lie which their forefathers did not even imagine in their minds, those who were true Christians that followed Jesus (as).
So for the love of God, do not turn Christian! May Allah bring the light of strong faith to your heart.