Check Tools menu > Preferences > Folders to see whether Drive A: has been specified as the destination for backups. If it has, you can change it there. (You should be able to highlight and delete "A:".) If you still cannot choose the backup destination, you may need to download a current copy of the PAF setup software. It is free if you download it.
My latest flash drive was $17 from Walmart. It has an 8 GB capacity, so in practical terms it has the storage capacity about 6000 floppy disks. I just plug it into a USB port on my desktop computer, for easy backup of genealogy, family photos, etc. I think you will find it much easier to use than a CD or floppies. You will probably leave it plugged in your computer. But it is nice to know that you can Eject it and put it in your pocket if you want.
If you are using any version of Windows older than XP, you will probably need to download a driver for the flash drive. For WindowsXP or newer, the computer should recognize the flash drive within seconds of it being plugged in.