Para hacer una copia de seguridad de todas las bases de datos en un SQL Server, viene muy bien este script que encontré en esta página: http://www.mssqltips.com/sqlservertip/1070/simple-script-to-backup-all-sql-server-databases/
DECLARE @name VARCHAR(256) -- database name
DECLARE @path VARCHAR(256) -- path for backup files
DECLARE @fileName VARCHAR(256) -- filename for backup
DECLARE @fileDate VARCHAR(20) -- used for file name
SET @path = 'C:Backup'
SELECT @fileDate = CONVERT(VARCHAR(20),GETDATE(),112)
DECLARE db_cursor CURSOR FOR
SELECT name
FROM master.dbo.sysdatabases
WHERE name NOT IN ('master','model','msdb','tempdb')
OPEN db_cursor
FETCH NEXT FROM db_cursor INTO @name
WHILE @@FETCH_STATUS = 0
BEGIN
SET @fileName = @path + @name + '_' + @fileDate + '.BAK'
BACKUP DATABASE @name TO DISK = @fileName
FETCH NEXT FROM db_cursor INTO @name
END
CLOSE db_cursor
DEALLOCATE db_cursor