To get to the wizard, go to the Tools \ Import and Export Settings menu item, which will launch this wizard:

Select “Export selected environment settings” and click Next

This next screen lets you configure exactly which settings you want to backup. You can’t hurt anything to just select to backup everything here. Click next to continue.

Now you can select the name and location of the backup file for import.

If you have to restore from the backup, you can run the same wizard again and select the file you specify here.