When backing up to CD you're basically trying to use the CD like a floppy disk. For this to be possible, the CD must be formatted using CD burning software. Consult your CD burning software's help menu on how to use a CD like a floppy disk.
Once the disk is formatted then the process below can be undertaken
1. From the main screen e-PayDay®, click on the word 'Utilities'
2. Select 'Backup my data'
3. Click 'Next' once taken into the 'Backup Wizard'
4. Highlight the company you wish to backup and then click 'Next'
5. In the 'Select Location' screen, put the dot next to "Other"
6. Select the drive that is the CD drive
7. Select any folder that you might have set up on the CD
8. Click 'Next'
9. When asked to backup another company, put the dot next to 'No' and click 'Finish'.