Making sure your computer is set to boot from your CD, and you have your USB thumb drive inserted, it boots you up to a desktop where you can open windows to both your internal hard drive and your thumb drive.
Then you just drag and drop whatever files you want to rescue into the thumb drive. Once you have rescued everything you need, it is no big deal if you just want to erase your hard drive and reinstall Windows.
The Linux desktop is slightly different from Windows, so the menu items are in slightly different locations, but just poke around and you will get used to it.
I'm not really a Linux user, and I hate to recommend it on a Windows board. It is just that my experience with building Live CDs over at Boot Land was somewhat daunting, and Linux CDs have really saved me from losing data twice now.
Someone else on this board might recommend a better Live CD.