better way to stop hang on delete

I tried to delete a backup before realizing that I didn't have the external hard drive where the backup was located which caused the program to hang-- I ended the program with task manager since I didn't know of any other way to do it.

It seems is probably a common occurrence since most of us backup to or multiple locations.

Would it be better if the program had a built in "end" feature or error message that would appear in a reasonable amount of time and inform that the backup could not be found in order to exit the process?