What are and where are you trying to back up to?
I use Quicken 2004 and Vista and it only allows me to back up to one external drive. If I try to back up to 2 others I get a similar message to the one that you state.
You can navigate to program files/Quicken and you will find the data files there. You can then copy them to back up media. In my case it show the wrong date modified in that location.
Intuit abandoned Quicken in UK. I have never fully understood why.