Welcome.
Format the stick in your Pa, then turn off the keyboard, wait 20s and turn it on.
Once booted press the Media button and from the drop down selector which defaults to the internal look to see if your USB stick is now seen.
If it is not seen try using another make of memory stick, the Pa series can be a bit flaky with certain brands.
If it is seen you can create the full backup but do ensure it is saved to the USB, it will default to saving it internally. I used to name the file YYYYMMDD_bup and if I remember correctly it will have a .set extension
Then create a Save All file via Media > Save > select all the data > All then OK and ensure you save it to the memory stick, I used YYYYMMDD_SA naming convention.
The Save All is the key file, it is where all your user data is stored in a very accessible location.
If there are OS updates create BUP and SA files immediately prior to installing the update.
Once the update is complete your user data has been over ridden and you use Media > Load > navigate to the YYYYMMDD_SA file, select it > Load and then your user data will be reinstated.
Do check my procedure against the manual as it has been a couple of years since I had my Pa and my recollection may be a bit hazy.
Good luck and fo come back to let us know if it worked OK
