That message typically occurs when you are trying to back up to an external drive. If that's the case, back up to the default TMG Backups folder and then copy that file to your external drive.
It's also possible that another anti-virus or anti-malware application or a sync or backup application is interfering with TMG. Have you made any change to your system lately. No backup or sync application should be given access to your TMG data folders. Some antivirus applications and TMG simply conflict and the TMG process needs to be excluded if you are using such an application.
I've listed many of the sources of such problems. You just need to work through the possibilities and find the problem.