The message means that your computer may not have a CD burner installed. So, you either need to purchase one and attach it via USB or replace the CD/DVD reader with a drive that is capable of burning discs. You can also choose to purchase an external hard drive and use that for backup. And, you can choose to not use Backup in OneCare, although that does mean that you will lose all of your data if the PC has a serious hardware failure or similar. If you choose to not back up, open OneCare, click on Change Settings, Backup tab and then uncheck the "turn on backup on this PC" selection and save the plan.
If you know that you do have a burner in the PC, there would appear to be a conflict with other software as OneCare does not see that burner.
You may want to contact support for more help with this:
How to reach support (FAQ) - http://forums.microsoft.com/WindowsOneCare/ShowPost.aspx?PostID=2421771&SiteID=2
-steve
