Action Center "Insert Removable Media"

Hi all, Every few days I keep getting this message in the Notification area of my Desktop :-
"Insert Removable Media (Important)
Windows backup needs a CD\DVD or USB drive to continue"

I insert a CD, Windows backs everything up, and the message disappears.
Three days later same things happens again. I have a whole pile of CDs with Windows backup on it.
Question: How can I stop this message from reappearing and annoying me ?
I already have a System Restore point etc. do I really need the Backup CDs ?

Thanks.