Creating Backup to CD-RW

Dear helpdesk, Following all the screen prompting I come to this Dialog Box below,when I click to save backup to CD-RW at E:-

“The backup file name could not be used
“E:\…………..bkf
Please ensure it is a valid path and that you have sufficient access.”

How do I get my backup in XP Pro platform to save in CD-RW as the backup files are large and Floppy disks is not practical?

Thanks,
Lawrence Voon