If you are using the WP-DB-Backup plug-in that I recommended, you may run into a small problem if you are self-hosting on your own server.
You may see this error message after activating the plug-in:
(Click to enlarge)
In this case you will need to create the directory named yourself using your FTP client.
Once the directory has been create, set the attributes to be 777 so that the directory is writeable for the plug-in to save a temporary file there.
(My FileZilla is in German, but it should give you some idea of the steps in your own FTP program).
