Error #506

I recently purchased Chessking for iMac, which turned out to be a Windows app with a wrapper produced by Crossover. It works fine on the Mac, but I am having trouble backing up my databases onto an external drive. I attached a screenshot of the error message that is returned, but the post would not save. The message is-

Error #506

ARRAY: Cannot open file

NEW: Z:\Volumes\My Passport\chessdata\Training Games.dx2.

This happens with all databases when I try to export them, not just the one in the screenshot. I can't get a response from Chessking, so if anyone can help I'd be grateful.