Scroll to the bottom of this page which will tell you all you need to know. Essentially you use the Dashboard to set up Server Backup (which is not enabled by default) and you define, what, where and how often it is backed up:
http://onlinehelp.microsoft.com/en-us/windowshomeserver2011/backup-restore-overview-2.aspx
Having two backup drives is also a good idea so one can be safely stored offsite.
Phil P.S. If you find my comment helpful or if it answers your question, please mark it as such.