there are some computer programs out there that can do this but they would rely on them using the internet on it. since you are asking i don't beleve you would have anything like this. all you can do is give the serial number to the local authorities and hope for the best
If you mean to protect your data when it "may" be stolen, the most secure way is a full disk encryption program. Several companies offer that and so do the higher-end versions of Windows 7. Keep in mind that under most hardware, full disk encryption will slow down the system.
If you are asking how to do this "AFTER" your laptop was already stolen, you can't. Just like a backup, it's too late to back up data once a hard-drive is dead, it's too late to protect a laptop after it was stolen.