It is important (really critical) that you backup or make copies of files on your computer. I have heard many sad stories of people losing important information because their computer hard drive crashed or their laptop was stolen or their USB thumb drive was stolen. Sometimes I have helped them retrieve from a damaged drive, but that only works occasionally
You may not need to backup everything on your computer but almost everyone has items they need to backup. Windows and the programs may not need backing up as hopefully you already have a backup of them (the CD/DVD they came on and you can reinstall from there or buy a new copy.
Items that definitely need to be backed up are the things you do not want to lose such as pictures, documents, and financial information. The important part will be to store the items somewhere other than on your computer
There are several ways to do a backup. Windows includes a backup program and there are several available from other companies. These programs will copy your files into a special backup file you need to put on another media such as CD/DVD. You also need to make sure you have a copy of the program so you can restore the files. You can choose what you want to backup in the steps as you run the program.
There are also online sites you can back your files up to. Depending on the size and number of files you need to backup some are free and some charge per month. Sites I know of (I have not used some of these and cannot say which is better) include box.com, idrive.com, carbonite.com, and Gmail. Another option on pictures is to put them on a photo sharing site. Just make sure the site keeps the full-size image available. Although I use several sites to share pictures (shutterfly, photoworks and myphotoalbum) only myphotoalbum in that group keeps the full-size images and lets me download the full-size. For video and audio places like mediafire is a possibility.
The other option is to copy the files to another drive such as a portable drive (USB). You can just use the copy command in Windows to copy files from one drive to another. I copy my pictures, articles, and web pages to a portable terabyte hard drive every week simply by dragging the files from one drive to the other. The advantage is that I can then use the portable drive with my laptop and work with those files. (If I do that when I get back to the main machine I copy the updated back on my PC).
The two important items are to make sure you make copies of your important files and that you keep that copy separate from your computer.