It's an XP feature. In the start menu go to Accessories - System Tool -
Backup. There you can select what you want to backup.
I you want to backup your current system settings don't forget about
creating restore points (go to System Restore settings by right-clicking My
Computer; make sure that the box Turn of system restore is UNchecked)
XP Pro automatically installs the backup program, XP Home Edition does not.
Microsoft's website will detail how to install this from your Home Edition cd
if you still have it.