cp -rv should at least tell you what file it's baulking out on.
The problem you're having sounds like you're copying a symlink (that is a file that just points to another) to a filesystem that doesn't support symlinks. There are three options for this:
Turn your backup volume into a filesystem that accepts symlinks (eg reformat it from FAT or NTFS to EXT3 or EXT4). Might be a pain depending on how much data you've got there (that you might have to juggle while you do it).
Just ignore symlinks and not copy them. This might break things if you try to restore as it'll be missing some files.
Expand out symlinks so they contain a copy of the actual data. This takes up more space.
The first would be my choice but if you need the drive for another system that doesn't support EXTx volumes, that's an issue.
Whether or not the second two are realistic options, I'd run
cp with its verbose flag to see what you're dealing with. If it's a single file, perhaps a plain copy would be okay, if it's not, and it's just a junky helper, perhaps omitting it would be okay.
But as a side note, most people seem to prefer using
rsync to do backups. It has a whole lot of options that make it perfect for the job. You can read a version of its manpage here. It has various options (as outlined above) on how to handle symlinks.