Saves for PC games are stored in one of two places. First off most new games store files some where in the My Documents folder. An easy thing to is to back up that whole folder with all hidden folders. Then you get most of the saves. Maybe take out the My Music and My Movies if you store stuff there, since they will take up gigs and gigs of space.
Anyway, in My Documents there will be the company or game name. Look in there for the saves. They are usually easily identifiable. Make sure to get the whole save folder with all the files, some times you need other files. Also look in the My Games folder that is within My Documents. Also make sure you can see your hidden files.
Another place is C:\Documents and Settings\USERNAME\Application Data
Sometimes companies put saves in a folder in there.
And finally, for older games, look in the games actual folder. There is usually a folder where the saves are stored.
If you got any more questions just ask, I have done this so many times. I really back up all my saves everytime.