Picking up the example from
here[
^], you should be able to point to the exact location (path) in the
TO DISK
section of the statement.
USE AdventureWorks2008R2;
GO
BACKUP DATABASE AdventureWorks2008R2
TO DISK = 'Z:\SQLServerBackups\AdventureWorks2008R2.Bak'
WITH FORMAT,
MEDIANAME = 'Z_SQLServerBackups',
NAME = 'Full Backup of AdventureWorks2008R2';
GO
Looks like either the path in filename is incorrect, or you may not have the appropriate permissions.