Check your firmware.
Press [UTILITY] > “Settings” > “System”
Your instruments firmware version will appear along the bottom of the screen...
Current firmware is 2.50.x

If your Instrument has firmware prior to 1.50.x then you do not have this “New Feature”. The Backup File was added in firmware version 1.50

In preparation of updating your firmware, you want to ensure you have files for your important data.
Save your current data as a USER File .X7U
If you have Songs in the memory, make sure you have .mid Files for each of them.
Gather together any Library Files that you have installed.... make sure you know where the file is (keep copies on your computer or usb drive)

Please visit the Yamaha.com corporate page and navigate to the “Synth and Music Production” area as if looking up information on the MONTAGE. If you click on the Download link on the MONTAGE product page it will return just items for the MONTAGE specifically.

Every couple of months Yamaha adds “new feature” via firmware updates. Some 735 new Performances have been added total since the product was introduced, several new Effect Types (New Rotary Speaker, new Compressors, Spiralizer, etc, etc), DAW Remote Control templates for Cubase, Logic Pro, Pro Tools, Ableton Live, as well as many new routines... be sure to look at the Supplementary Manual which includes descriptions of all the new features. The latest includes all previous firmware update features.

Get on a mailing list so you get an email when new (free) stuff becomes available for your instrument. Or simply stop by here every once in a while to hear all about NEW FREE STUFF!

Extra Credit: Video and Reading material on v2.50
MONTAGE OS v2.5 New Features
Music Production Guide