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From Installation Guide

"To back up your Integrity installation:
1. Make a copy of the entire home directory and save it to a safe location.
The default is C:\Program Files\Zone Labs\Integrity for 5.x versions and
C:\Program Files\CheckPoint\Integrity for 6.x versions.
2. Back up your database.
If your installation includes an embedded database, your backup is already
complete.
If your installation uses a third-party database, use the preferred vendor-specific
tool to back up the database."