Windows has a backup program ready to go on your system. Navigate to START, PROGRAMS, ACCESSORIES, then SYSTEM TOOLS and you'll find the backup utility. While older versions of this utility will differ slightly from XP Professional's, you'll be able to follow the Wizard when backing up.
You can backup the entire system, which isn't a great idea. Windows and other programs can be reinstalled. So you're probably better off keeping your data in a centralized location, such as your My Documents folder. You can add folders within that directory by opening My Documents and right-clicking an empty space. Name the new folders whatever you want and organize your data. Then use the Windows backup utility to create a backup of your data. Put this file on another hard drive, burn it to disk, or copy it over to another computer on your network.
Also, take a moment to schedule backups. The Windows backup utility will give you a chance to schedule backups automatically. This is normally located under the Advanced tab at the end of the backup process. Take a moment to set this up.