If you want to backup your SMSes and MMSes from your Android phone I found 2 apps to do this:
SMS Backup & Restore by Ritesh Sahu - Excellent for backing up your SMSes to an XML with included XSL file for easy reading in a webbrowser.
Save MMS by Andrew Schwimmer - Let you save MMS images one by one, ok if you don't have more than maximum a couple of hundred MMS images to save.
They both save data to your SD card which you can then copy when connecting your mobile to a computer or just pop in the SD card in a pc with a card reader.
Thx to for SMS backup: http://androidforums.com/htc-droid-incredible/281188-sms-mms-back-up.html,