First, make sure your games are paused before you copy them to backup. This will ensure that your backup is frozen in time (and isn't moving forward).
You should select all, copy, then navigate to the VF Backups folder and paste. It will not ask you where to copy them to, you have to do it manually.
The save game files as well as the installer can be copied to a CD or flash drive for safekeeping. You can consult the Windows help files for the appropriate information on the procedures to create a backup CD.