Hi
Usually on new computers there is a utility someplace that starts the process.
This is added by the Manufacturer I think and is not really part of Windows.
On my wife's Dell there was a link in the list when you open the Start Menu that said something like Create System Restore Disks.
When you clicked on it it told you to label a DVD, System Restore 1 or something like that, and insert it in the drive, then is said Next and started coping the Windows Installation files to the DVD, I think it took two disks on my wife's computer.
You don't need to do this if your computer came with a real Windows Install disk as my computer did, but on lap tops they usually don't.
What kind of Computer do you have?
You could try going to you computer manufacturer's site and look for Create System Restore Disks and see what you find.
I know Dell has a page devoted to this. The terminology is kind of mixed I think they call it a System Recovery Disk.
Note that running a system Restore usually formats the hard drive and installs a new copy of Windows so you don't want to do it unless it's the last resort.
Mike