Is the sql server instance located on the same computer where you are running SSMS to do the backup?

If yes, then it should be straight forward using the backup dialog pointing it to c:\Documents and Settings\yourprofile\Desktop

If no, then it is a bit tricky. You need to create a share on your computer (in DOS: net share sharename=c:\somefolder). Then use the backup dialogue and in the destination dialog write \\yourcomputername\sharename\my.bak

It may be necessary that instead of 'yourcomputername' you put your IP address.

At the end remember to do a 'net share sharename /d'.