Harmony
The Backup utility is not included in the default installation of Windows XP Home. You have to load it from your original CD-ROM.
So, pop your CD-ROM into the drive and go to
\VALUEADD\MSFT\NTBACKUP
Double-click the Ntbackup.msi file to start a wizard that installs the Backup utility. When the wizard is complete, click Finish.
The procedure to actually do a back-up on XP Home, is a little involved. So, I suggest you go to Microsoft.com and do a search with the search terms "backup xp home". I know there is a procedure somewhere in the Microsoft support base.
Creating a restore point, as someone else suggests, simply creates a copy of your registry files so that you can go back to a clean registry if something bad happens to the computer. This will not help you to do a backup, but is good procedure nevertheless. "Windoze" XP Home is truly not the brightest star on the software horizon.