By default windows backup (NTBackup) does not backup open files. However, so long as you are running on Windows XP or Windows 2003 Server or later, you have the ability to backup open files due to the presence of the Volume Shadow Copy service which is used by NTBackup.

To enable open file backup, please set the following registry key to a value of 1 (DWORD).
HKEY_CURRENT_USER\SOFTWARE\Microsoft\Ntbackup\Backup Engine\Backup files inuse

IMPORTANT: Amending the registry is dangerous and is done at your own risk. Before you modify the registry, make sure to back it up and make sure that you understand how to restore the registry if a problem occurs.

Refer to the following Microsoft knowledge base article for full information.
Microsoft KB Article 159218