I use a fairly rudimentary system of backing up my important documents by copying them to an external hard drive. For simplicity, I tend to copy whole folders across and replace what was there before, rather than try and pick out everything that's changed. Can Windows XP just copy things that have changed or are new? Dan Pryce
You can do this from a command prompt using XP's built-in xcopy command (http://www.microsoft.com/resources/documentation/windows/xp/all/proddocs/en-us/xcopy.mspx), or the more powerful XXCopy Freeware (http://www.xxcopy.com).
Microsoft also offers a more powerful utility, Robocopy.exe, with server resource kits and Windows Vista. There's now Robocopy GUI to give it a friendly interface, but you must install the .Net Framework first, if it's not already installed.
If you want to continue using Windows Explorer, you can easily select the most recent files if you sort them by clicking on the Date Modified heading. Also, when copying, you don't have to click confirmation for every file. Instead, hold down the Shift key when you click and this will be applied to the whole batch.
Otherwise, Centred System's Second Copy (http://www.centered.com/) will do the copying for you automatically, on a continuous basis, for $29.95.
Update: Please read the comments to this post for other useful suggestions, including SyncToy, which I've not noticed before (special thanks to JasCarter). However, my attempt to install SyncToy has failed with an error message, and while it obviously works well for some people, the program does seem to have other problems. See: http://blogs.msdn.com/mswanson/archive/2005/08/09/449349.aspx
Backchat: Campbell Sayers, Frank Ewart and Jas Carter recommend Microsoft's free SyncToy. Campbell says it "allows you to set up any number of instances of five kinds of backup operation (Synchronise, Echo, Subscribe, Contribute, Combine) from one source folder to another." Simon Midgley recommends the free Replicator from the Powertools section of the Karenware.com site. Robin O'Connor and others use SyncBack from 2brightsparks.com.