What nigelrivett suggested actually is a "HOT" backup (meaning the database is still ACTIVE while you're doing the backup). COLD backup means the databases are down, no connection or activity occurred in order to create a consistency database backup. You should use either one of 2 methods below:
1) Put the database in single user mode & DBO only
2) Do the full backup
1) use SP_DETACH_DB (see BOL) to disconnect/stop the database.
2) Copy the database's files to another server
3) use SP_ATTACH_DB to re-attach and open the database for user.