Backup on the Home edition of XP is not installed by default.
The backup application on the retail version is located on the XP CD in the Valueadd folder, Some OEM’s include backup, but some OEM’s elect not to supply the additional folder.
Place the XP CD in the CD drive and select Additional Functions, then browse the CD.CD-ROM Drive
The readme file includes additional information on installing backup.
Once installed, it can be accessed from Start, All Programs, Accessories, System, Backup.