I'm trying to copy Documents and Settings to an external HD, but it says can't copy NTuser.dat because it's in use and to close down whatever is using it. I closed down everything I could think of including the internet protection apps (turned of internet too) and that still comes up. Any idea how I can do this? I've had to do a System Recover and don't want that hassle again if I can help it.

NTUSER.DAT is the registry hive you see under HKCU. You cannot copy it whilst logged on as that user as it will currently be mounted. You must create another user. Reboot and log on as them to be able to copy the profile