So the directory probably doesn't show cuz it's likely hidden.

This is just the first result on google with "how to show hidden files in windows 10"

https://support.microsoft.com/en-us/windows/view-hidden-files-and-folders-in-windows-10-97fbc472-c603-9d90-91d0-1166d1d9f4b5#:~:text=Open%20File%20Explorer%20from%20the,folders%2C%20and%20drives%20and%20OK.

Then to make a backup you basically just right click the Valheim folder and say copy. Then go to a directory like your documents, and paste it there.

Without much experience with any of this, and being little sauced, I could easily be walking you into a disaster.