Backing up 'My Documents'....

I've heard that Windows XP has a built-in data backup feature. Is it in XP Pro only? I'm looking around in XP Home and I can't seem to find it. IF XP Home doesn't have this feature, can someone recommend an easy to use and schedule data backup util, freeware? If it can be set up so that it will do an auto backup everytime the PC is shut down... like at shut down, it would check the back up folder on the USB thumb drive, and would only update the files or folders that have been changed since the last update. If the thumb drive isn't in the PC, the app would pop up a window saying something like "USB drive isn't available. Insert now, or click Cancel to continue shutting down without update..." Am I asking for too much in a free utility?

 

On XP Home, you have to install it.

http://www.microsoft.com/windowsxp/using/setup/learnmore/bott_03july14.mspx