>>In the options dialog don't chose append, chose overwrite.
>
>As you may have seen, there is no dialog here. I simply run the command. I have resolved the issue by simply delete the .bak file. However, this keep appending new backup to the existing file. So, I found the INIT clause. However, I cannot combine COMPRESSION and INIT in one backup command line. Has anyone succeeded to do that?

The syntax is:

BACKUP DATABASE [DBName] TO  DISK = N'C:\SQL DB Backups\DBName.bak' WITH NOFORMAT,
 INIT,  NAME = N'DBName-Full Database Backup', SKIP, NOREWIND, NOUNLOAD, COMPRESSION,  STATS = 10
GO