is simply another way of saying 'make a copy', and once you look at it in this light it it suddenly much easier.
What I say is based on the fact that you said you wanted to back up your data files, and to do this you simply copy them to a CD. You can store them in an archive on a separate hard drive partition if you like - but remember that the reason you want to back up in the first place is so that you don't lose the data in the event of a drive failure. To do that effectively the back up must be on removeable media.
I use ZIP drives with automatic back up software by Iomega to do my office back ups. The software watches specified files and/or folders for any changes and when it spots that you've saved a new file, or altered an existing one it backs it up - automatically as you work.