There are two different types of database, which require different types of backup. Depending on
the type you will see one of the following two windows:
First, for single users systems using SQL server compact edition:
In this case all the data is held in a single 'sdf' file. All you need to do is to copy this file.
The second type is for single of multi-user systems using SQL Server (other than Comapct
Edition)
In the this case, the data is backed up to your server (NOT to your local drive). So if you specify
(for instance) D:\PBackup\ as your backup target, this will be the D drive of your server.