As you already know Linux is an operating system that runs on your computer. Typically it is not compatible with windows, so when you load this into your system you are going to have a partition that will separate your Linux system from your Windows system on your hard drive.
This is fine and dandy however you are going to want to back-up your files just in case something was to happen to your computer. Even if you are just running one system there is still a chance for your computer to malfunction.