This key identifles you as the user which can use the files you have encyptiped on your pc, if you lose it and have forget your username and password you WONT be able to access your files.

Back it up now

Saying that the file encryption built into windows (EFS) sucks you can buy utilities that crack it in seconds and it should only be used as basic anti snooping device.

Use a tool like Truecrypt for real encryption.