Backups can be created manually or using software to automate the process. I prefer doing manual bi-monthly backups by burning all my data to a data CD, since I keep all of my stuff in one folder, with categorized sub-folders.
You can also use the backup utility built into Windows. For Windows 95/98 users, click on Tools from a drive's properties and click Backup Now. For Windows XP Pro users Click Start -> All Programs -> Accessories -> System Tools -> Backup. Unfortunately Windows XP Home users have to install this feature from the CD; locate “CD-ROM Drive:\VALUEADD\MSFT\NTBACKUP” . Windows backup utility will also copy system files and settings to the backup file.
You can also copy all your data, music files and other stuff to a partition other than the root (C:\) so if Windows get corrupted you can simply format the C: drive. Or better yet, copy your data to a partition on another hard disk (if you have one) in case the whole hard disk seems to be failing. This is the best, cheapest, and safest way to save all your important data.