Plug your phone into the PC, launch DM (desktop manager), click where it says backup, then click the backup button. It just ask you where to store the backup file. This process backs up your phones settings, contacts messages and calendar, but NOT your sd card contents OR any 3rd party apps you've installed.
Don't forget to copy your sd card to you pc's hard drive as well. DM never makes a copy of it. If you don't make one and the card gets corrupted, you'd loose any picture or music that you store there.
Also, to backup any 3rd party apps that you may have installed (, follow these instructoins: