First of all, there is no need to panic here because your trial license will expire.
It just means you will not be able to use SmartConsole to change the security policy, etc.
Once you apply a new license, everything will still be there.
See:
https://community.checkpoint.com/t5/General-Topics/How-to-Request-an-Evaluation-License-for-Security...When you perform the backup, it should give you the full path to the file.
At least for me the correct directory is /var/log/CPbackup/backups/.
When I went there, I did not have to do any "filtering" in WinSCP, the backup file just showed up.