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To back up your Skype for Windows desktop configuration and history files, please go to C:\Documents and Settings\your_windows_username\Application Data\Skype\ or on Windows 7/Vista and Windows 8 C:\Users\your_windows_username\AppData\Roaming\Skype and copy this directory somewhere safe (for example, save in a USB key or burn to a CD).
Copy the files back to that location to restore your data.
Please note: Your contact list is stored on our servers and will not be lost as long as you always sign in with the same Skype Name. Instant message histories and other data are only stored on our servers for a short time.