I took a look at your MSDN posting, and Hanshi is correct. When you're getting the error, it's because you've not specified a filename for the backup, only the folder.
It's annoying, but you need to add the filename to the end after you browse to your target folder, but before you hit OK. The 3rd post on MSDN shows the problem.
With the error, you've got:
C:\Program Files\Microsoft SQL Server\MSSQL10.SQLEXPRESS\MSSQL\Backup
When you don't get the error, you've got:
C:\Program Files\Microsoft SQL Server\MSSQL10.SQLEXPRESS\MSSQL\Backup\frf.bak
That's all it is.