I found this in a few different places around the 'net - hopefully it's helpful:

Create Your Own Restore Points

Windows XP makes it easy for you to take a snapshot of critical system files before you make any major changes, such as installing new software, adding hardware devices, or changing the registry. (Windows XP automatically creates system restore points, called system checkpoints, but you can create your own to make it even easier to recover your system in case of a failure.) Note that using restore points doesn?t affect your personal files, such as the My Documents or Favorites folders.

• Click Start, point to All Programs, point to Accessories, point to System Tools, and then click System Restore.
• In the System Restore dialog box, click Create a restore point, and then click Next.
• Type a description for your restore point, such as "Before Office XP", then click Create.
• If your system fails, press F8 in the boot menu, and then click Last known good configuration. Windows XP restores your system to the most recent restore point.