My laptop needed a full destructive recovery so I saved all my things on disks and memory pens and then put everything back into its original place when it booted up again.
I don't understand why a few of you are saying this is in the wrong section. It's a general question about FM, hence FM General Discussion.:S
Like people have said simply navigate to your savegame folder (\Documents\Sports Interactive\Football Manager 2010\games\) and select the game you want to backup and copy it to a CD, Memory Stick, DVD, etc..