Meh, not tried Windows Contacts? Built in, works well...and if you are on Vista or 7, there is a Sidebar gadget for both. I use it all the time, works well.
If it's for Sony Ericsson, try MyPhoneExplorer. Otherwise, most of the manufacturers do their own proprietary stuff which you can use to back your phone up.
You could always look into getting a cheap SIM card reader, they can be picked up for a couple of quid and will (obviously) copy all your phone number onto you comp for you.
My problem is that most of my phone numbers are on my phone memory, it is a Nokia 3510i so no connectivity to the pc, and it's screen is almost dead... now i got a sony w910i (christmas present) and i need to find a way to unlock it's carrier... i think vodaphone will unlock it for a price. Thank you!