The most common cause for a backup failure is the drive letter for the USB being incorrect.
Take out the USB and put it back in. You should see a popup and be shown a letter i.e. E:, F:, G: etc.
Compare this with what is in the Archive File section of the Backup Utility, if it is a different letter change it to match the USB and leave the rest, it should read like E:\R3Data.ret for a USB with E:.
Another common cause is a faulty or full USB stick.
Try using a different USB stick and do another backup. If it succeeds the other one may be full or damaged.
If the Backup fails, with a message appearing with the heading 'Creating Live Copy of Database', then your backup may not be setup correctly.
In the left-hand menu, click into Settings, then into Backup Settings.
Untick the box that says Live Backup.