In the bottom right corner of your screen, right-click the OneDrive icon. If it's not immediately visible, click the up arrow and then select it from the menu.
Left-click the option that says "Settings" and a new window will pop-up.
From the new window left-click "Manage backup".
Check the locations you would like to make a backup of, and then click "Save changes".
The selected files are now saved to your OneDrive.