Kat:Depends on the volume you are talking about. The fast and easy way is to have a second hard drive either external or internal which you can update using shareware or just dropping files.
If you are talking <5 MB or so you could just save them off to floppies. Not your application programs, just the documents (images, art, text, whatever. Retrospect is an excellent software package for running backups but I am not sure if it is the Windows arena. I am sure some software is out there for running backups in the shareware arena.
But you don't say what you are backing up TO? The same hard disk as the originals? If so you might want to look for a used tape backup machine that can just plug into a port when you want to use it. Often they come with appropriate backup software and you can rotate three or four tapes so you always have the current lot safe plus a couple of failsafe earlier iterations.
Another option would be a CD burners -- with a 650 MB CD down to about a buck it is viable as a backup system and make music on 'em too. Try to arrange for a different target device than the disk your originals are on.
But the other thing is that it sounds like the BACKUP.CFG file you are referring to is possibly a file which stores configuration variables for the main application. It may be on the hard-disk just not where the application is looking -- try moving it into the same folder as the BACKUP.EXE file so it can find it without going out of its own directory and see if that works.
If it is already there see if you can fire it up by doubleclicking on the BACKUP.CFG file instead of the BACKUP command file.
A