If you are going to use Windows XP Professional to back up your files, you need to go to: Start > All Programs > Accessories > System Tools > Backup. This feature is not available in Home Edition. The wizard will walk you through your options, as far as choosing the files for back up, and the backup method are concerned. Be sure to choose the "Back Up Files and Settings" option, and "Let me choose what to back up" for the most control over the backup settings and options. After you choose these options, choose the save location and the name for your back up file. When you need to use it, you can repeat this wizard, except you should use the "Restore Files and Settings" options, and select your back up from the location.
If you are going to be burning media back up discs, then you should select all the files and folders that you need, add them to the disc and burn it. You can use your preferred software to do this as well.