PowerWorship songs, collections, and style settings, etc. are stored in a local database at the following location, by default, depending on your version of Windows.
Windows Vista, Windows 7, Windows 8
The exact location of the database file can be seen on the Environment tab in the PowerWorship Settings.
Windows Explorer (or My Computer) etc. can be used to make a backup copy of the file to an external hard drive or other storage area.
Note: The Application Data / Program Data directory is hidden by default in Windows. To access the directory via Windows Explorer (or My Computer, etc.) you will need to either show hidden directories in the Windows Explorer settings, or enter the directory path in the Windows Explorer address bar, and hit the Enter key (or press Go, etc).