When you click Change Settings, then configure backup from the backup tab, then click change settings, did you select your computer from the left or did you leave it on "Backup Plan for all PCs?"
I recommend selecting your PC, then unchecking "turn on backup for this PC."
Save the settings and go back to the main OneCare interface.
Repeat the configuration:
Change Settings
Backup
Configure Backup
Change settings (lower left)
Select your PC from the left.
Click 'Turn on backup for this PC'
Click change location
Select the external drive attached to your PC from the list
Confirm the rest of the plan, verify that "turn on backup..." is still checked.
Save.
Try a backup and see if it respects your new setting. If not, please contact support.
How to reach support (FAQ) - http://forums.microsoft.com/WindowsOneCare/ShowPost.aspx?PostID=2421771&SiteID=2
-steve