Operation failed: Directory is not empty

Hi All

I attempted to select an external hard drive as my backup destination.
I get an error message Operation Failed: Directory is not empty. Please select an empty directory. The error number is 0×1104b.

I tried to search for this problem and could not find anything online.

I have no idea what it means. My hard drive is not empty...but why should it be empty to work?

Thanks

Create New folder and set it as backup destination -- possible?