Hardware can and does fail all the time.
So short answer you should backup whenever your system changes by enough that were you to lose it all it would take an unacceptable amount of time to recover.
It's difficult to put an exact figure on that but for me I backup my system every week at least and I have two separate backup devices so that if one fails I can always go back to the previous backup.
If like me you are reliant on your data you will want to backup regularly. I also backup project specific data to a memory stick on a daily basis. Unfortunately there are two kinds of people: those who will lose data and those who backup.
If there is little on your PC that is important to you: for example you only use it to play games and surf the Web you may be happier to back up less often.
However, while upgrading and installing are becoming less of a risk we see far too many questions here and on other support sites such as Launchpad and Ubuntu Forums where people have lost data so and I can't say this too strongly:
Backup all your data first
Also bear in mind that when windows talks about a
C: drive and a
D: drive there is no such concept in Linux. Windows users often confuse drives and partitions.
If you tell the installer to use the whole drive it will. If your windows
D: drive is not a drive but a partition it will be overwritten.
It's possible to install Ubuntu along side Windows or to install Ubuntu where your old
C: partition was but keep the data that was on your old
D: partition but you need to read the instructions carefully.
You should be OK if you take your time and think about each question you are asked but if something goes wrong it will be a lot easier to fix if you have a backup.