That's a standard "canned" message on some software. Since you're running XP, just do a System Backup. Start, All programs, Accessories, System tools, System Backup. Give it a name like, "before xyz program install".
But notice this. XP does a backup every 24 machine hours. And it will do an automatic backup after you install some programs anyway.
Occasionally when installing new software, I am asked to backup my system files. What/where are these files and how do I back them up? I have a CD-RW unit so space probably isn't a problem.