This is because the plugin cannot access that file. It doesn't have permissions. You may be able to give it permissions or you may not. It depends on the host.
It does look however that you've ticked the "Backup the WordPress parent directory". If you're not sure what this meant, you should untick this and it will fix the issue.
That option is ONLY intended to be used when WordPress is within a subdirectory on your website, such as http://www.example.com/wordpress/. When ticked it will also backup http://www.example.com/. It looks to me like your wordpress is not in a subdirectory and is installed at http://www.example.com/ and so you should not use this option - it will generally ask for trouble and backup data that doesn't need backing up (such as traffic logs.) We're adding some feature in soon that will detect when WordPress is not in subdirectory and not let the option be enabled in that case.