After backing up a file and the download has finished, you look in the folder where it should be and there is no file there. To fix this, close Internet Explorer, find its icon and right-click on it. Select 'Run as Administrator' and login to your DVR again. Now, the backup download will save correctly.
Cobra DVR (v15 firmware or higher)
If you find that the Backup button is grey and you can't click it:
Go back to the landing page and select DVR Web Service
Then click 'Login with administrator'