Backup directories not working

On the DB maintenance admin page (admin/settings/db_maintenance) it is possible to set the backup directory, the directory for the tar and for the mysqldump. Whatever I put there, though, I get following message:

* Backup directory does not exist or is not a directory.
* Path to tar is incorrect.
* Path to mysqldump is incorrect.

Even using the default values gives the same errors (although the "Reset to defaults" button at the end, does not work, as it tries to validate the directories as well, and fails (at least that's what it looks like to me), that might be a different issue though).
Now I'm pretty sure that I'm actually doing something wrong, and that the module isn't completely (or at all) broken, but as there is nowhere that tells me what to put there and which directories to create, I'm creating an issue here and not asking for support elsewhere. There is no info on the page, in README.txt, INSTALL.txt and no link to docs, on the project page on d.o.