I've recently installed a Sweex UPS. UPS means 'Uninterrupted Power Supply' and is a box which keeps your computer running for a short time in event of a mains power failure.
When mains power fails, the box will respond by a rhythmic beep. You have a few minutes to respond.
First close any programs which are open. Prioritise the programs most likely to be affected by a cut, so work through the following list:
Accounting programs - Sage, Quickbooks etc. Do NOT take the 'backup data' option.
Any open Microsoft Access databases.
Other MS Office programs - Word, Excel etc.
Do not bother to shutdown web browsers, Windows Media (or other video/audio player) or Adobe acrobat.
Whilst doing this, you can monitor how much time you have by right-clicking the UPS icon and selecting 'Start Monitor'.
Shutdown the PC.
Once done, switch off the Sweex by pressing the power button at the front of the unit. Remember to turn it on again when power resumes.