Error in backing up files. Path not found

When I exit BankTree I get the message "Error in backing up files. Path not found".
What am I doing wrong?

For BankTree Personal Finance 2.0: go to the tools menu and select options:
For BankTree Personal Finance 3.0: go to the file menu and select settings:

Next to the Backup Location - click on the Browse button to set the name of the backup file. The current backup file you have set may be on a drive that is not available.