Do this BEFORE the installation.
Start -> Run -> Enter: "ntbackup.exe" (without the "")
Choose: copy files and settings,Next
Then choose: Let me choose whats going to be copyed (or something like that)
Then mark the C:\ partition, and other partitions like D:\ or like that.
If you got a XP this will work

This will copy whole the system, but it takes some DVDs... (my system is at 30-50GB...)
If you got a standard system, it will be 3-5 DVDs.
Remember to not take with media files that takes up much space

Or just not mark Documents and settings, you can take that on own DVDs/CDs.
EDIT:You can use DVD and CD too, Microsoft is using a bit old words maybe...
(floppys are around 4MB of storage i think, their the old revulotion

)
Be careful so you dont end up like the friend of this guy:
QUOTE
5: Warning !
Well : The above guidelines worked for me but not for my friend - now his XP is ruined and can't install ubuntu again ( Don't ask me why ). So people who want to try , it should work , but its slightly risky - What I would do is to think twice before you install - try not to install when you do not really want/need it as its slightly dangerous . But if you install it , I should say : Good Luck ! ( Note : 99.99% sure it will work ) !
Ill try out a backup of a file here, then we can see if it auto-setups