Windows XP
Here the rescue disk is called ASR (Automated System Recovery) disk. This disk can only be created when you take a back up of your system files. For the same, go to Start>Programs>Accessories>System tools>Backup. From the Tools menu, select the ASR wizard and take a back up of the files. You can create a disk for starting up the system in MS-DOS mode by right clicking on the floppy disk icon, selecting the format option and then checking Create a Disk to start in MS_DOS only option.
While using rescue disks, remember that if your system crashes, you will also need to have the Windows installation CD for complete recovery of your OS.