Yes, you'll need to backup to upgrade from the 8.2.x line to the 8.3.x or 8.4.x line - right now we are still recommending the 8.3.x line (particular 8.3.9 as it is the most recent).
You'll need to backup your database as explained in
this tutorial then uninstall 8.2 and download and install the 8.3.9 pgInstaller from
PostgreSQL's website. Install it, restore your database, and that should be all you need to do.