The default is to have the prompt, then to save the backup/undo .reg file somewhere exactly where you'll be able to find the backup, i.e.:
My Documents\CCleaner Undo
-or-
My Documents\CCleaner Backup
-or-
Program Files\CCleaner\Undo
-or-
Program Files\CCleaner\Backup
To toggle the default behaviour of being prompted, or getting no prompt at all to backup go into:
'Options->Advanced' then either tick or untick "Show prompt to backup registry issues"
With the current amount of forum chatter about the registry cleaners' "Unused File Extensions" being far more too aggressive in v3.04.1389 it would be wise to receive the prompt and make a backup just in case its a bug and you need to undo anything.