It looks like the backup was being created to a folder which doesn't exist, resulting in the error.
At the start up the config backup wizard, make sure the Backup Location is right for the machine you're on.
We can improve this on our side as well. At the moment it remembers the last backup location you used, and uses that the next time, but if that location doesn't exist anymore (or doesn't exist on the machine you are on) then it will result in an error. I'll make it check the location at the start and reset it to the desktop folder it the old one doesn't exist.