XP Pro has a built in backup utility, which can be used to schedule backups from local and network resources. It's not the best, but as it's built in, it's free.
It's accessed from Start>All Programs>Accessories>System Tools>Backup or Start>Run and type ntbackup in the box. It's easy to use and has built in help.
Other good commercial tools include Veritas or Symantec Backup Exec, however, these are relatively expensive.
It's usually best to store important documents on a server, which in the case of a workgroup, can be any of the machines. The backups will work more quickly and you only need to leave the one machine on to run the schedule.