STEP 1
Find the profile folder:
On Windows 2000/XP/2003/Vista machines the location for your Thunderbird profile is:
C:\Documents and Settings\<Windows login/user name>\Application Data\Thunderbird\Profiles\<Profile name>\
On Windows 9x/Me PCs it can usually be found at:
C:\Windows\Application Data\Thunderbird\Profiles\<Profile name>\
STEP 2
To backup all your Emails/Contacts/Calendars simply copy the folder to another location either on your computer or CD/USB.