I do not think you need to backup any windows things, especially when you turn on XP (or ME)'s restore.
When window messed up. You can restore to early point. If really bad, you can start in safe mode and restore to earlier good point. If really really bad, you just wipe clean and restore it from Recovery CD you got.
What you really need to backup is your PERSONAL stuff, i.e. photos, emails, word docs etc etc.
If you want to get back to work quickly when something gone pear shape, it is better to create Image of HDD. As you have DVD-RW, this is a perfectly option. The best easy to use program is Acronis True Image click here.
Personally, I got a backup HDD and put into an external enclosure and clone it identical to the one in PC and update once a week (1 hour unattended job). If something gone pear-shape, just put the backup HDD in and carry on work in 15 minutes.