"The media may be full or not formatted. Please change media or format the media, and click the OK button."
To export the data directly to the CD-R/RW with [OpenMG Jukebox Backup Tool], you will need software supporting packet write. However, as "Drag'n Drop CD" does not support packet write, you cannot export the data directly to the media.
Save the data to the hard disk drive first and then back it up to the CD-R/RW from the hard disk drive using "Drag'n Drop CD" or "EasyCD Creator".