When your computer attempts to recognize you blackberry as a mass media storage device (something to that effect), allow it to do so (I believe you click finish instead of cancel, it is a separate pop up on vista). I got to the same point, and when I clicked no or cancel or whatever, it stalled and gave me an error.
I found that some databases just wouldn't back up. In the DM, next to the Backup button, hit the Advanced button. On the right side will be a list of apps on the handheld. Select all except the one(s) that won't back up. Hit the double arrow to copy them to the desktop.
Be sure to do File->Save As and save it to a file on your PC, otherwise it doesn't really save anything.