This is one of the things that are far easier with a rooted phone: you could just type in:
adb pull /data/app C:\Users\User\Desktop\Apps
and your apks would magically appear on your desktop. In your case this isn't possible because accessing the data partition is only allowed for root users. (And this is a good thing. Imagine what would happen if any app could read your email or text messages.)
There are several apps in the
android market play store that can back up your apps.
My favorite is App Backup & Restore. It's a pretty simple app that even has an option to automatically back up all new apps.
Than you can just copy the apps to your computer using your preferred method. I use Foldersync Lite to upload it to my DropBox.