When you edit your Backup tasks one item it asks about is where you want to store your Backups for both the site server and the SQL databse. You have 2 options:
1. UNC path
2. Local HD
When you choose option 2 you need to be aware of the context of the backup. The site server will backup to the site server hard disk to your desired folder say c:\xxxx-site. If you set the database to be backup to c:\xxxx-database be aware of it is asking. Checking of you log will show that the backup was completed with no errors yet the folder isn't there. ahh check the SQL server under c:\xxxx-database The SQL database will be saved to its local HD. In this context you need to keep this in mind if you do C:\ of your servers or if prefer go ahead and save both to a UNC path for backup in a single folder