Magento – Disable automatic currency update

You have to add more currencies under System > Config > GENERAL > Currency Setup > Currency Options then you can change the rate between them.

You can NOT change the rate between ABC and ABC ;-)

Here is something that should convert the prices.
I know it's not the best way of doing it by touching the db directly, but it's fast and it works.
Please back-up your db before trying any of this.

So all price related values are kept in the table catalog_product_entity_decimal and catalog_product_entity_tier_price in case you have tier prices.
For tier prices is simple.
Just update the value of the column value with the converted value.
So today the conversion rate for 1E is 4.4193 RON.
Run this query:

UPDATE `catalog_product_entity_tier_price` set `value ` = 4.4193 * `value`;

This should solve it.
For the rest of the prices is not that easy.
First you need to identify the attribute ids for price and special_price.
For that run this query.

SELECT 
    * 
FROM 
    `eav_attribute` e 
    LEFT JOIN `eav_entity_type` et ON `e`.`entity_type_id` = `et`.`entity_type_id`
WHERE 
    `e`.`attribute_code` IN ('price', 'special_price') AND
    `et`.`entity_type_code` = 'catalog_product'

This should produce 2 rows. Take the column attribute_id values and use them in the query below. For me these values were 75 and 76.
Now run this query for updating the prices.

UPDATE 
    `catalog_product_entity_decimal` 
SET 
    `value` = 4.4193 * `value`
WHERE
    `attribute_id` IN (75, 76)

Again 4.4193 is the exchange rate.

Now you can set your base currency to RON. Clear the cache and reindex everything.