If you wish to back up your save games they are found in (using the default installation location):
C:\Program Files\Activision\Rome – Total War\bi\saves
Any save games will have a .sav extension after them.
The save files can be copied (right click on the file and choose copy) and pasted (right click and paste) into another folder in your PC for backup.
If you wish to return the .sav files to their original folder follow the steps above to copy and paste into the Rome – Total War\bi\saves folder (as above).
Please be aware that this is not a supported feature of the game and all back ups are done at the your risk.