Has it worked before? Did you change the location? If you have recently set it up and it hasn't worked before, you may need to set up permissions for the location. What is the Central backup location?
-steveMicrosoft MVP Windows Live / Windows Live OneCare, Live Mesh, & MS Security Essentials Forums Moderator
If the backup is a central location on the network be sure to open the network identify to the location on the network instead of a drive letter and folder.