backup Wto external HD

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How do I back up my libary to an external HD? The only post on this says "the
same way you back up other files." But I can't even find the library on my C:
drive.
I did find a directory C:\Documents and Settings\[me]\Application
Data\Microsoft\Media Player
but it's empty. I would appreciate it if someone would tell me clearly how
to copy WMP files (of the sort that don't carry a license) to an external HD.

Michael
.

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