It is not where they are kept so much it is that they are in more than one place (and you keep a check that the medium used isn't deteriorating over time).
Multiple back up options. Count suggests a hard drive. Yes you can just plug in a pen drive if you like. Another option is a CD or DVD drive that can write to a disk.
When installed, as Count states, it should just appear as another drive that you can copy to. Instructions should come with the drive.
For real security you could keep a copy at someone else's home, just in case fo fire or whatever. Share out the memories to all the family.