It's not in a menu, it's in the import dialog when you import from a card.
Ah - well that explains it then. I normally download my images from the CF using other software which is a force of habit I suppose because it allows me to keep my folder structure exactly as I want it. However, never too late to experiment I suppose, and if importing from a card gives me the option of backing up at the same time it will definitely be something I shall be giving a try. Now where's did I put that CF card.........