We found a regression in Crossover 11 with RM5 - when trying to backup a file, clicking on "browse" to browse to any directory other than the default (which should be My Documents) will trigger an error message. If you "ok" this error and try again, you might eventually be able to browse to the proper directory.
We're working on fixing this for an update to Crossover. In the meantime you can either (a) use Crossover 10.2, where this doesn't happen, or (b) always backup to your My Documents folder, and then manually move those backup files within finder.