Have you tried sending the backup to your hard drive instead? Send it to the C drive maybe in Documents and Settings. See if the backup will complete sending it there instead of the jump drive.
If it will, you might check the jump drive to be sure you have room on the jump drive for the database. It could be too big.
let me know if the backup will complete sending it back to your C drive in Documents and settings (or somewhere else, even if it is My Documents).
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