'How to backup' is a huge topic that's discussed in depth on the internet, but I'll give an outline of it here.
There are two types of backup: a file and folder backup and an image. A file and folder backup will backup individual files and folders that you specify. That's a good choice for backing up your personal files (documents, pictures, music, etc.)
An image backup copies your entire hard drive from beginning to end. That's what you do to backup Windows and all your software.
Third-party backup software is the best way to backup. It will help you choose what to backup and it will run your backups automatically.
There's lots more detail and it's all on the internet. Take your time, learn how to do it the right way, and you'll never again worry about losing anything on your computer.