The destination tab controls where your backup will be saved to. You may choose to backup to a local drive, removable storage or a remote computer supporting the SFTP protocol (if your computer runs the OpenSSH server, it most likely supports SFTP).
If you choose to backup to a remote host, be sure to click Test Settings before saving your set! A typo in the password (and other fields) can leave fwbackups unable to connect to to the remote host, resulting in a failed backup.