The Microsoft SQL Server Management Studio 2008 user interface only allows you to create a backup of a database to one of the local drives of the database server.
To create a backup of a Microsoft SQL Server database to a location outside of the database server execute the following SQL script:
BACKUP DATABASE MyDatabase TO
DISK = N'\\MyNas\MyDatabase.bak'
WITH NOFORMAT, NOINIT, NAME = N'MyDatabase Database Backup', NOSKIP, STATS = 10
GO
Change the bold values to match your environment.