If you are using Organizer it’s possible to select an external HD or CD for your back-up. Organizer will back-up the entire catalog which includes key words, albums and other events. Many Mac users make the mistake of using Time Capsule, forgetting that PSE is a separate database.
For backup-ing up your catalog in PSE:
1. Click on 'File->Backup'.
2. As this is your first backup, so it has to be full backup (which is checked by default), click on 'Next' button.
3. Select the destination drive and backup path (drive onto which you want to write backup).
4. Click on 'save backup'.
Also, the backup created on your external media is not a simple copy, it's a folder which will be used only by the 'restore' function of the organizer to recreate both your picture files and your catalog. The only way to restore from that folder is to use the 'restore' function of the Organizer.