I just found out about this today, and I use Windows XP for some time now, so i guess there are others out there who don't know about this yet.

But normally windows saves the "My Documents" folder on your C-drive. But when you right-click on it and go to properties, you can change the location where you want windows to save your Documents folder.
I have a partition set up with just windows on it, and all my things i want to keep are on different partitions/disks. So now I put My Documents on another partition than where I have windows installed. If windows screws up and you have to format your C-drive again, your documents will be spared at least...