If you don't have a "backup" icon:
The first thing to do is to make sure you have your Windows XP fully updated. If you go into Start - All Programs, up at the very top of the list should be a "Windows Update" link. Make sure you're all updated.
Then once you've done that, go into Start - control panel, and into the add/remove programs area. There should be an option there to work with Windows components. Make sure the backup component is checked (it probably isn't). You might poke around in there and see what else you want to enable, there are lots of nifty Windows components that are very useful. That will then get backup running on your system!