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I use astro to backup my apps to microsd, then manually copy the contents of the card to my pc after connecting the phone in usb drive mode.
there is also a program stored on the sd card that installs HTC sync on your pc, which allows you to sync contacts and apps etc, but I havent had much luck with it so far as it couldnt see my email progran to get contacts from it.
Does MyBackup back up your SMS's?
I've backed using it but can't remember if it does or not.