We will need a bit more information to be able to assist. Please take a moment to navigate to Help > About Quicken and provide the year and version of Quicken you are currently running.
Do you receive the error message when attempting to save a backup to the computer or anywhere other than the thumb drive?
Do you have a secondary thumb drive that you are able to attempt to store a backup to see if the issue persists?
Please let me know!
-Quicken Tyka