Next you'll need to consolidate your library. This is a feature of iTunes that makes sure that all files in your iTunes library are stored in the same folder. This is necessary because when you backup your library, you'll be moving just one folder and you don't want to accidentally omit behind any files that are stored somewhere else.
In iTunes, open the Preferences window.
On a Mac, go to iTunes -> Preferences
On Windows, go to Edit -> Preferences.
When the window appears, click on the Advanced tab.
About halfway down that window is a checkbox that reads "Copy files to iTunes Media folder when adding to library." Check that box and click OK to close the window.
Once you've clicked OK, all iTunes library files stored outside your iTunes Media folder will be copied there. This leaves the originals in their original locations, though, so those files will take up twice the space. You may want to delete those files when the backup is complete and you're sure you have working copies.