How do I choose where to Backup to ? (eg: on a 'memorystick')

You can choose where your Backup files are stored.  To do this, go to File -> Customize Backup & Restore.  

On the left-hand half of the screen, click the 'Browse' button (the yellow folder),
...then browse to your flashdrive memory-stick or to the location of your Dropbox folder.
[Thereafter, all Backups (& Restores) will be to (from) this place.]

Now you can Backup in the usual way, via File->Backup.
And Restore, via File->Restore.

Similarly if you wish to Backup to (or Restore from) an external drive or device, or a folder on your Hard-disc or on the school Network, etc.

You can see these steps explained in HelpMovie numbers 9 and 10.
See also the KnowledgeBase article about Dropbox.

Alternatively, you can choose where to Backup as you are actually Backing-up.