Just so you know, this can frequently result in slower backups that cause some visible load on the server. I prefer to backup locally and then move the file across the network.
But... You just need to refer to the correct location by server and share name. Make sure the service that SQL Server runs under has access to it. The backup script would look something like this:
BACKUP DATABASE X
TO DISK = '\\myserver\myshare\x.bak'