Go to Tools on the menu bar across the top of ActiveSync. Select Backup/Restore. You have a choice of full or incremental backup. Even if this is your first backup, you can just leave it on incremental; it will still get all of your data. After your first backup, incremental will go pretty fast because it backs up only changes on your PDA.
Leave the backup path as ActiveSync recommends, so the Restore function will find it automatically.
I would also highly recommend checking the box that states, Automatically back up each time the device connects.
Push the Backup Now button.

