Your saved games are in the SH4 folder which should be in your Documents folder. You should be able to back it up.
Just burn a copy onto some type of disc or flash drive or external hard drive, if you have to reinstall just swap the SH4 folder in your Documents with the backup, just make a copy of the clean new SH4 folder before you replace it, stash it on your desktop or someplace safe, just in case the backup does not work.
I think as long as your install matches the saves it should not be a problem to put them back . So if you have mods installed you need to have them exactly the same or backup save's won't work. I hope this is right.
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