You definitely want the catalog. Default location is: [systemdrive]\Documents and Settings\[your username]\My Documents\My Photos\Lightroom\Lightroom Catalog.lrcat but you can check yours by going to Edit > Catalog Settings.
You probably also want all your Presets. [systemdrive]\Documents and Settings\[your username]\Application Data\Adobe\Lightroom\Presets\
And for good measure, you could back up your Preferences. [systemdrive]\Documents and Settings\[your username]\Application Data\Adobe\Lightroom\Preferences\Lightroom 2 Preferences.agprefs
And don't forget to back up the photos, as they're not 'in' the catalog.