You can do that, you just can't browse to the location.
In the file location type in the UNC Pathname and the filename you want to backup to (i.e. \\Server\share\SQLbackup.bak)
Where ever you backup to make sure that the user you are logged in as has the appropriate level of rights to write to that share. Likewise, if you were to schedule a job the account that runs the SQL Agent must have the appropriate level of rights to that shared in order to place a file there.