AFAIK ‘back-up’ and ‘exporting’ your keys amount to the same thing. I’ve not used Kleopatra to do this, but have always used the ‘gpg’ command line The important key to export is your private key.
Click on ‘Start Menu’ and enter cmd in ‘search program/files’ box. Then click ‘cmd.exe’ shown at top. A prompt opens up with the path to your username. Then enter the command line: gpg --export-secret-keys -a “Ramon Tan”>mypriv.key. You are asked for your passphrase so enter it. After a few seconds of thinking about it, your file ‘mypriv.key’ is created in C:\Users\username. You should then move it offline to a USB drive or external HDD for safekeeping.