Sorry, there's no back-up function on the MPC4k. I use ak.Sys for back-ups and for large data transfers to my computer and it works fine for me. May not be what everyone is looking for though.
Also, check this out - a friend of mine had a USB watch (that's right - watch) that stored 128 MB of stuff. He hooked it to the front of my MPC4k and it worked great - even showed up in ak.Sys!
Check the link at:
http://www.thinkgeek.com/gadgets/watches/5eec/