I'm afraid that this is not going to help but I have a different problem. I can back up only to one of my external hard drives. If I try to back up to another drive, including my main drive, then it tells me that I cannot access the drive (which is nonsense as every other program can). I'm sorry but Quicken seems to be buggy under Vista. Apart from the above problem I can run ok.
The only thing I can suggest is that you try to back up to another location and see what happens. If it works you can always copy the files to the external drive. I actually do this so that I have 2 back ups.