A few games have copy protected game save files. To backup these files you can’t just copy them to a memory stick, you will need to do an actual system backup.
To do a full system backup (this will basically copy ALL of the photos, music, videos and game save files and settings on the PS3 to a backup folder; you will need to have an external usb harddrive or thumbdrive w/enough space on it).
In the XMB, go to System
Go to Settings > System Settings > Backup Utility
Then choose Back Up
Finally, pick the device to backup too (memory stick, usb harddrive, etc).