When I am backing up selected items, like how ThePerfectCore stated, I use the Windows Backup, then burn the backup file onto a CD. That adds the ability to restore the file system, directories, and files exactly how they were previously. However, this still limits you to a backup file of 700MB or smaller (I use DVDs, so I get 4.7GB).
I've never used Nero, but I have used Easy CD Creator 5 Platinum to do backups (Now I use Nero for ALL burning) and it allowed me to specify what I wanted backed up. I wouldn't imagine Nero to have a much different setup than ECDC.
Actually, I just tried doing it on Nero and it actually doesn't let you do that, just an entire Partition. I think what ThePerfectCore may being doing is just dragging/dropping files onto a data disc compilation. I would just try to use the Windows Backup utility and keep the backup file size small enough to put it on a cd.