Who wants to be a Millionaire-Damsell In Distress

[Delly]

I've just bought who wants to be a millionaire and now want to take a backup & i really could do with some help from some clued up male out there.
Obviously I have got all the hardware I need to take a backup and I've have tried to take a backup but there must be blocks on the game and I've just got no idea where to go from here.
If anyone can help a damsell in distress please get in touch.