Even i faced the same problem. You have two options -
1. Open the Phone Broswer from My Computer. Open your phone and then the Contacts.
Select all the contacts, copy them and paste them in any folder on your computer. You can paste them later when you want to.
2. This is the best, and the most unused method.
Open you contacts on your phone.
Click on the options key, and select mark all.
Now again click the contacts options, Copy and select to memory card.
It will ask you if you want to remove the existing memory card contacts, say yes.
All you contacts will be copied to a Contacts folder in the Others folder on your memory card.
MMC\Others\Contacts
This is a backup of all your contacts, with the photo thumbnails, all the fields etc.
You could also copy that folder to your computer if you want to keep a backup on your computer too!!