On the last page of the wizard, you are prompted to save a backup of the registry file. Only the modified registry entries are backed up. The backup file is a text file of REGEDIT4 format (used primary in Windows® 95, 98, NT4 and supported by Windows® 2000/XP/2003) and has the ".reg" extension.
By default all backup files are saved in the folder "C:\Program Files\RFA\Backups\". The user can select the folder where backup files are saved and change backup filenames. The last used backup folder can be opened from the Start menu -> Programs -> Registry First Aid group -> Open Backup folder.
If you do not want to backup the registry, then uncheck the Save the undo file checkbox. Note that if you do this, you will not be able to restore modified registry keys.
It is highly recommended to always create a registry backup file. Otherwise you will not be able to restore the modified registry keys if needed.