Firstly, I believe that it is customary to post the code you have so far, however if you are compressing the files into one file, it would be quicker to ask for the filename as well. I've put a function below that could be called to get a dialog input from the user, however you will need to put error handling round it to check for an empty response case the user selects cancel.
Public Function UserInput_GetSaveFileName() As String
Dim CDLG_SaveFile As New SaveFileDialog
CDLG_SaveFile.CheckPathExists = True
CDLG_SaveFile.InitialDirectory = My.Computer.FileSystem.SpecialDirectories.MyDocuments
Dim CDLG_Result As DialogResult = CDLG_SaveFile.ShowDialog
Select Case CDLG_Result
'User pressed cancel - do nothing
'User pressed OK, return filename
'User has selected another option other than OK or CANCEL, do nothing
Private Sub Procurar_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles Procurar.Click
Dim Salvar As New SaveFileDialog()
Salvar.InitialDirectory = "c:\"
Salvar.Filter = "Arquivos zip (*.zip)|*.zip|Arquivos rar (*.rar)|*.rar|Arquivos 7zip (*.7z)|*.7z"
Salvar.FilterIndex = 2
Salvar.RestoreDirectory = True
If Salvar.ShowDialog() = DialogResult.OK Then
NomedoBackup = Salvar.FileName
Caminho.Text = NomedoBackup