Please see: http://docs.moodle.org/23/en/Automated_course_backup
From your description am guessing Windows platform. Don't do windows but troubleshooting is something that transcends (to some extent):
In the Moodle config, is there a green check mark next to the box where you've designated the drive? or is there a 'red X'?
Can anyone, from the Moodle server itself, actually copy a file (any file) to the designated drive/folder? Is the drive mounted? Can one see the drive from the Moodle server?
Check the moodledatafolder/temp/backup folder for non-zero byte .log files for clues. The .log files are text and can be opened with Notepad.
IF there are files/folders in the backup folder other than non-zero byte.log files they might be completed backups that haven't been copied to the designated drive.
Are there any other errors reported when running cron job?
'spirit of sharing', Ken