Formatting XP

Alas, it's that time again. Gonna wipe the hard drive clean and start with a fresh install.

However, this n00b has a question. I know XP has an option to keep your documents intact. Is there a specific method this works? I have a lot of videos and other files I would like to keep, I just need to reinstall Windows. I'll backup all the files to disc if I have to, but I'm thinking their has got to be a better way.

Does it save all the files in the My Documents folder? Or does it go by file extension?

Help!

Also, this is not from a CD, but rather from a Recovery partition on the hard drive. XP won't let me access it, so no copy paste.