A back up of your important documents, photos, etc is essential. Having had 2 PC's die in the last month I was very grateful that I had a back up.
The easiest way is probably to an external hard drive but you can also back up to second internal hard drive (snag with that is that it could die with the rest of the computer) or to discs. Some do a full back up of their hard drive using dedicated software like Acronis others just back up what they would really find hard to lose, this includes e-mails. You may well want to back-up e-mail and internet settings.
When I used to use discs (DVD's) I used to alternate from one set to the other so that I knew I had a good set. Doing this to an external harddrive is harder. I found when I did a restore from my external harddrive that I had a few corrupted files.
When you state that you have no back-up disc do you mean that you do not have a Windows disc or recovery disc? If so you should make a recovery disc as soon as possible. Your computer should have come with instructions how to do it.
Hope that this helps.