The "Registry" is actually a group of files, but mostly it refers to "what you can change with the 'Regedit' utility. Essentially, it consists of a whole bunch of entries - in a list - that Windows uses to run Windows.
It is a sort of 'scary' place to go, since you can really mess up Windows if you screw it up; but it's a necessary place to go sometimes.
If you Click "Start, Run" and type regedit and hit enter - you're "in the registry. When you get there, you can click on "Registry" and choose "Export Registry File" and it will put a file, with whatever name you choose and extension ".reg". I usually use the date for the filename - say 021121.reg.
If you later double-click on the .reg file, it will automatically copy itself back into your registry, which gives you a "sort of" way to restore things if you get something messed up. The problem is that it will "add-back" anything that's in the backup file, but it won't remove anything else that's there - so it's kind of a "half-way" restore.
There's no need to be "very afraid" about working in the registry, but unless/until you're sure of what you're doing, it's usually best to have a "script" for what you want to do in front of you before you go in. The "seat belt" is that you can exit without saving changes, if you get confused.
Incidentally - stuff in the registry is case-sensitive so a "dog" is not a "Dog" is not a "doG."
Best way to backup is to CD, because Windows stuff is too big for ordinary floppies, and the "superfloppies" like the ZIP drives aren't very reliable (in my experience) and are expensive ($10 for a ZIP100 floppy vs $1 for a blank CD). If you have your Win98 Install CD, it's useless to try to back up what can just be reinstalled, especially since "copying it back" won't work in most cases; but some settings and your data need to be saved somewhere.
Whether its a "drop-in" to add a CD-R/W (or DVD) depends a little on what else you've already added; but usually it's not a big deal.