You can always find out the directory where the browser stores the history files. For example, for Chrome, here are the locations:
in xp = C:\Documents and Settings\USER\Local Settings\Application Data\Google\Chrome\User Data\Default\
in vista = C:\users\USER\Local Settings\Application Data\Google\Chrome\User Data\Default\
in win7 = C:\Users\[username]\AppData\Local\Google\Chrome\User Data\Default
Just take a back up of this folder to save history.