You do one of two things....
1. you replace <device name> with the path you want to use:
BACKUP LOG mydb TO 'C:\Backups\mydblog.bak'
2. you create a 'dump device' and use that.
Refer to the BOL for information on sp_addumpdevice. But basically it's:
USE Master
EXEC sp_addumpdevice 'disk', 'mydblog', 'c:\Backups\mydblog.bak'
GO
BACKUP LOG mydb TO mydblog
-SQLBill
BOL=Books OnLine=Microsoft SQL Server's HELP
Installed as part of the Client Tools
Found at Start>Programs>Microsoft SQL Server>Books OnLine