Yes, there's lots of options. But you've not really provided a lot of information about what you are trying to achieve, e.g. do you have a requirement to write the backup to something other than a conventional filesystem?
To minimise downtime (if that's important) you might consider running master-slave replication, and running the backup from the slave (which could reside on the same physical server) or keeping the data on a mirrored disk set, breaking the mirror and starting a secon instance of mysql to run the backup from (although this will break the files if you don't stop the database before breaking the mirror). But that doesn't really address of how you get the data out of the DBMS.
What are your objectives here? What sort of backup do you want? The quickest solution would be to grab images of the datafile - which only requires that the DBMS is shutdown to get a consistent image - then any file copying tool will work. If you have a huge amount of data then you might want to do incremental backups - in which case you might just configure a replication log and back up the replication logs relative to some datum.
OTOH if you want to extract the data and schema, then mysqldump comes as standard with mysqld. There's details of how to run it within a MSWindows batch file in the comments in the manual
Remember that backups are useless unless you regularly test that you can restore the data.