I had the same question yesterday and did some googling and searching and ultimately found some answers. Being a long-time lurker I figured I should try to give something back so here goes:
There's an application that will do this automatically, however it's for OS X and if I remember correctly you have XP. For others that find this the app is iBaReS (formerly known as iBackup). Info at
iBaReS | Google Groups
I've not tried this but most of the information that you will want to save/copy is in the var/mobile/library so if you SSH in and copy that possibly along with the applications folder and the User/applications, restore/upgrade your phone then replace the new ones with the backed up ones you should be good... Like I said I haven't tried this but if everything gets erased anyway it isn't going to hurt... Good luck!