By default all data used by CompleteFTP is stored in a subdirectory of ProgramData (Vista/2008 and later) or the "All Users" data directory (Windows XP/2003 and earlier), so backing up this directory is all that is required.
If you have set up the virtual file-system to access any other directories then of course these must be backed up separately.
On Windows XP/2003 and earlier:
C:\Documents and Settings\All Users\Application Data\Enterprise Distributed Technologies\Complete FTP
On Vista/2008 and later:
C:\ProgramData\Enterprise Distributed Technologies\Complete FTP
Two other ways to locate the directory:
1. Open Windows Explorer and type "%ALLUSERSPROFILE%\Enterprise Distributed Technologies\Complete FTP".
2. From the Windows Start menu open "CompleteFTP" and then "Log Files". This opens the Logs directory in Windows Explorer. Go up one directory.