For testing purposes, let's create a small sample database called StudentDB that contains a couple of filegroups called FG1 and FG2. Each filegroup will have two data files, which will be saved in the C:\Temp folder.

Open up SQL Server Management Studio and run the following script:

CREATE DATABASE [StudentDB]
 ON  PRIMARY
( NAME = N'StudentDB', FILENAME = N'C:\Temp\StudentDB.mdf'),
 FILEGROUP [FG1]
( NAME = N'StudentData1', FILENAME = N'C:\Temp\StudentData1.ndf'),
( NAME = N'StudentData2', FILENAME = N'C:\Temp\StudentData2.ndf'),
 FILEGROUP [FG2]
( NAME = N'StudentData3', FILENAME = N'C:\Temp\StudentData3.ndf')
 LOG ON
( NAME = N'StudentDB_log', FILENAME = N'C:\Temp\StudentDB.ldf')
GO

We will use this database to do our filegroup backup. Feel free to substitute this with a database that already exists in your instance which already has filegroups.