You don't.
The purpose of the server backup feature is to allow you to copy your shares to an external drive, presumably so you can take the drive off site for better protection. The backup database can't be moved onto the external drive, but you can copy it to the same (or another) external drive by hand, following the instructions in the
Home Computer Backup and Restore technical brief. Or, if you foresee a frequent need, you can install the
BDBB add-in so you can perform the whole task through the console.
I'm not on the WHS team, I just post a lot. :)