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Since Firmware 2.0, backups are performed daily. They store all your Apps' information for your user. In OS X they can be disabled using a Terminal Command. There may be a way to do this in Windows, but I'm unaware of it. Use the search field in the upper right of the forums to see if there is one, or check at TUAW.com as they are on top of these things.
Once disabled, you will have to perform a backup by right-clicking on the iPhone in iTunes and selecting "Back Up". Otherwise, you may loose settings and saved information for your apps.
aneftp - The reason you don't have to deal with the back up on your XP machine is because it is likely not the iPhone's home machine. It will take some time when you sync with your iMac.
TEG