well, Nero has "Back-It-Up" as a component but by MS Backup utility, i meant that there's a built in backup function (not the same as the CD burning you're referring to): http://www.microsoft.com/windowsxp/using/setup/learnmore/bott_03july14.mspx. that should do the trick if you're just needing basic backup functions.
as i mentioned before, imaging and/or cloning your drive via a software like Acronis True Image is very useful, not only for select file backups, but also for full system backups in case of HD failure, RAID failure, etc. etc. probably overkill for your needs though.
good luck backing up your important files!