On the last page of the wizard, you are prompted to save a backup of the registry. Only the modified registry entries are backed up. The backup file is a text file of "Registry Editor 5" format (used in Windows® 2000/XP/2003/Vista/and above) and has the ".reg" extension.
To roll back all changes that were made to the registry refer to the Restore registry from .reg backup files topic.
By default all backup files are saved in the folder "C:\ProgramData\RFA_Backups". The user can change the folder backup filename. The last used backup folder can be opened from the Start menu -> Programs -> Registry First Aid -> Actions -> Open Backup folder.
If you do not want to backup the registry, then uncheck the Save the undo file checkbox.
If you do this, you will not be able to restore modified registry keys.
It is highly recommended to always create a registry backup file. Otherwise you will not be able to restore the modified registry keys if needed.