It can either save the backup to nortons servers (online backup) or to local storage (USB stick/drive, CD etc)
The online gives you free 2GB of space for backing up your documents, but keep in mind it would take about 10hrs to send 2GB with a average home internet connection
In theory, backing up to nortons servers would be safer than backing up to a usb memory stick because memory sticks do fail and because if a disaster struck your home you could lose both your computer and your backup (unless you keep the backup at another location)