If you make a paper backup and test it and keep it safe, you have all the backup you need. It will protect you from just about anything you can do to lose your own bitcoins, except exposing your root key to a thief. Even better is the fragmented backup. (something else to google)

On windows wallets are stored in the default data directory, C:\Users\...\AppData\Roaming\Armory, unless you specify otherwise.

Making copies of your wallet files will not increase your security, and will multiply the possible ways for an attacker to access your private keys.