How to Set a System Restore Point
Before changing your system settings you should always set a System Restore Point in order to make recovery easier in case of problems.
While Windows XP will set these points automatically at various times; setting a specific point can be useful if there are things you've done after Windows sets its automatic point that you want to keep. Recovery to a set System Restore Point can cause data loss from that point foward as that's the purpose of the restore point: to restore the system to a particular point in time. (The data and/or program may still be on the hard disk but the registry may no longer point to it if you restore to a point before installation of a program. This can cause problems accessing the data.)
To set a System Restore Point...
If you need to restore the system to a particular point or change the options Windows uses to set restore points use the System Restore tool as well.
A description can also be found on the Microsoft site.
Note: For the curious, the restore point information is stored in the hidden folder "System Volume Information" in the root directory of the drive. Windows will typically block any attempt to explore that folder.
Now that you know the way to set a restore point via the menus, here is a simple trick to make it even easier...
And, if all you want to do is backup the registry, please see the discussion here...
Windows Vista uses a "shadow drive" system to keep a constant backup of the system registry. Any time there are changes made, an automatic backup is made. This allows you to make restores back through multiple changes so the system restore feature is more robust. After a restore you will be required to restart Vista so make certain you close all open applications and save all open files before you so a system restore.