A quick way to make a backup of your registry is to select File > Export from the menu of the registry editor. You can choose to save the complete registry, or only the key you whish to make changes to.
However, this isn't fail save. The best way is to create an Automated System Recovery (ASR) disk. For more information, type Automated System Recovery in the Search box on Windows XP's Help and Support Center (click Help and Support on the Start menu).