To protect yourself from Windows's notorious crashes, power outages, and other accidents, you should back up your work often -- not just when you are finished. How often is "often" depends on how paranoid you are. It also depends on how good your memory is for reconstructing what you just took a half-hour, an hour, or more to do. Backing up your work doesn't take long, so it doesn't hurt to do it when you think of it, and especially before you change windows, switch tasks, or preview in a browser. I had a lot of trouble with Dreamweaver 2.0 crashing when I go to Modify > Page Properties.
To back up your work, choose File > Save or Save As... Make sure that your file will be saved in the folder that you expected it to go to, then click on Save.