You can use a valid local hard disk destination for your backup. The Local hard drive option is selected by default when you define a new backup.
Destination
If the current backup destination is not a local hard drive, you can change it by checking the Change destination to local hard drive option.
In the Folder where to perform the backup field by default it is the path to the My Backup4all 4 folder (\Documents and Settings\<user name>\My Documents\MyBackup4all 4). You can click on the Select another destination icon 
and browse to a directory of your choice where the backup will be stored.