The most common error here is the account running the SQL services does not have write/create access to an off box share you've created. It does not use the account you're logged in as, it uses the account assigned to the MS SQL services.
The easiest way to test this is to force the bacup to a local drive and not to an off box share.
If you're getting an error backing up to a local drive then there's another issue at play - I'd need to see the log with the full error to speculate further.
