Hi,
On the printscreen with the error message you don't have a filename entered by "Destination on disk". You do have specified a folder, but if you don't add a filename the backup filename will be the same as the foldername. You can't have a file with the same name as a folder (within the same parent folder).
This folder exists on your machine:
..\MSSQL10.SQLEXPRESS\MSSQL\BackupSo you can not create a file with name:
..\MSSQL10.SQLEXPRESS\MSSQL\Backup