What is the goal here? To backup the database to the O drive? If so you cannot. SQL can only backup to drives which are local to the SQL server not remote drives unless you use UNC paths etc to provide backups to network locations.
The local drives to SQL are the local C drive and the local D drive. NOT your devices C or O drive.
You will need to backup to D, then use UNC to move the backup where it needs to be.
Just remember GDPR/HIPPA/SOX etc as moving databases around can have significant headaches for data breaches especially when moving data to end user devices and data breaches etc.