In addition to doing "File" backups you can also do "Filegroup" backups which allows you to backup all files that are in a particular filegroup. By default each database has a PRIMARY filegroup which is tied to the one data file that is created. You have an option of creating additional filegroups and then placing new data files in any of the filegroups. In most cases you will probably only have the PRIMARY filegroup, so this is topic is not relevant.
As mentioned above you can back up each filegroup individually. The one advantage of using filegroup backups over file backups is that you can create a Read-Only filegroup which means the data will not change. So instead of backing up the entire database all of the time you can just backup the Read-Write filegroups.
A filegroup backup can be completed either using T-SQL or by using SSMS.
For this example I created a new database called TestBackup that has three data files and one log file. Two data files are the PRIMARY filegroup and one file is in the ReadOnly filegroup. The code below shows how to do a filegroup backup.
BACKUP DATABASE TestBackup FILEGROUP = 'ReadOnly' TO DISK = 'C:\TestBackup_ReadOnly.FLG' GO