If you have overcome the subject error when setting up a backup on Microsoft SQL Server Management Studio; below is a series of steps which will provide you the solution
- Under Object Explorer, expand the Server Objects tree
- Under Server Objects; expand Backup Devices
- If there is backup object list, delete it
- Create New by right-clicking on Backup Devices
- In the resulting Window, provide the Device Name and file name as illustrated
- Create the backup and select the Backup Device as the destination