After looking around in the forum, I learned a totally fascinating feature of FBackup:
It does not support external, or optical devices. I can backup my valuable files to a different location on my hard drive, sort of like, uh, moving them to a different location on my hard drive. So, if my hard drive fails I really don't have a backup at all. Perhaps it's just me, but that doesn't seem like a very good back up strategy...but like I said, maybe it's just me.
Looking at the tag above I read "FBackup does file backups. For free." Well, I guess it does "something" for free, but apparently not backups.