Back up your file encryption key

After logging I get a system tray "balloon" pop-up prompting me to back up my
file encryption key or else I could lose all encrypted data.

First of all, I wasn't aware I had anything encrypted. Second, when I do
oblige the prompt it takes me to the Certificate Export Wizard where I'm then
asked to specify a file name I want to export. The only problem is I have no
idea what file I want to export even if I wanted to export any at all. What's
going on? I feel like I should back something up rather than ignore the
pop-up but I just don't get it!

Please help.