I was trying the iexplore backup feature. I have found that it will appear to have worked, but when I rescanned, two urls were found that were new. I added these and scanned again, to find the same urls. I was surprised that the program did not know that it had not written the file to disk. From what I could see with the url, it contained the "™" symbol, and this was a problem.
If you bookmark this page, you should be able to repeat the problem. http://www.bl.uk/onlinegallery/ttp/ttpbooks.html
Are you trying to backup to folder or to a zip archive? It seems that our version of zip does not support unicode names - I will research this topic deeper.