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The system files or the Operating System, if that's what you mean, is built into the device and will reinstall itself when you do a hard reset.
What you will lose is anything that you have installed, new programs, files etc.
You can back up files just using active sync.
You can back up the whole system using a backup program.
But if you just want to start from scratch, and you haven't added anything yourself, you don't need to back up anything.
The CD that comes with the axim when new, only contains Active sync and a copy of Outlook for your PC, plus a couple of games.
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