Looking at http://qa.moodle.net/backup/backup.php?id=2
Wow, good job! If we can get all wizards in Moodle closer to this, great
Not sure what to think about the lack of a "<< Previous" button. Whether users expect to be able to use browser back button in a wizard or whether they think they can not change previous steps is unknown without testing. I understand a wizard-like prev button it requires a bit of more advanced session handling such as that implemented by PEAR quickform_controller. Does browser back button absolutely always work for making changes in previous steps? At least I got [[cannot_finish_ui_if_not_setting_ui]] error when playing with it: If the session with the wizard has expired or finished already, any of the intermediary pages should automatically forward to the first page, for starting up a new backup session (and perhaps notifying the user of why they were forwarded there).
The persistence of the "Backup settings" on steps 2 and 3 puzzles me. The steps before confirmation should be separate so I am pretty sure the settings should not be there on page 2. On the confirmation it is okay, for review, to show what has been selected.
If you call the third page "Confirmation and review" then in principle it should not take input, such as the file name. If it does, then the file name input should definitely not be inside the Backup settings fieldset unless it is there already in the first screen. It seems that asking for the filename last is reasonable - if you believe it is to users, too, then just take it out of the fieldset to a fieldset of its own and probably highlight the fieldset, too.
Do not forward the last page of the wizard anywhere automatically. There is no guarantee of the user sitting at the screen and being attentive while the backup is performed (so they may get confused if they surprisingly end up outside the wizard. Instead, provide links to anywhere the user might want to go, including the place where the backup was saved (alternatively, allowing the user to download that file directly from the last page of the wizard may be useful). Also, the layout of that page is a bit confusing as it has so little content - perhaps a frame around the content? the fieldsets on the preceding pages offer useful visual separation which should be there also on the last page.
Please use the naming and placement/order of buttons as specified at http://docs.moodle.org/en/Development:Wizard - there are strong conventions for wizards, so the closer we meet user expectations here, the more fluent their use of the wizard will be. In particular, I think the button for advancing should be "Next >>", except that on the 3rd screen it should be "Perform backup" or a similar imperative form (btw, typo on the button preform).