Where to backup Quicken

I have Quicken 2015. When I tell it to backup, where should I be baking it up to? It gives me 3 options...C:\Quicken backup\QDATA.QDF-backup or C:\Quicken backup or C:\Quicken backup\BACKUP I have been backing it up to the first option listed, but I can't find that file on my C: drive. I must be doing something wrong, so any advice would be appreciated.
Carol