You can't back-up to a CD-R/CD-RW disk from this program. You need to back-up to a folder on your computer and use your CD writing software to copy that folder to a CD-R/CD-RW disk.
If you are trying to backup to another drive on your network, make sure you first use Windows to map to that drive.
You can also have problems if you are using a limited user account on the computer. Use an administrator account instead.