If you know the date and time of the event, the Event Viewer may give more either under the System log, or (but perhaps less likely), under the Application log.
But in any case it is always wise to back up all your files anyway.
Mark
I had an alert - "Windows failed to write to a hard drive " or something like that. Now I have 4 drives on the computer, so I am not sure which HD it was referring to so I can back it up asap. I clicked the bubble in the bottom right hand corner, but it didn't tell me anything. Where does XP keep a list of alerts and such so I can view it?

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