You cannot create a ZIP file on a CD, Windows blocks that as it is not a read/write type drive like a hard drive, or removable memory stick. Also if you do say backup to the desktop and then copy that file to a CD, you cannot use it after restoring easily. The CD puts a read only flag on files and copying it back, you would find it is locked in read only mode.
A cheap $10 memory stick is your best bet as it will hold over a year of backups.
You mentioned that you were trying to get to the virtual folder which would tell me that even with a drive to back up, you would find that you were not backing up the new data but instead the original data.
See this FAQ http://zpay.com/vbulletin/showthread.php?t=1564 and use the Company Organizer to locate and move your data files.
Paul Mayer
ZPAY Payroll Systems, Inc.