SQL Server performs backups to the local drive. You can't tell it to backup the database to your machine over internet. What you need to do is to backup the database on the hosting service and then download it to your machine. In order to perform this you need to contact help desk of your hosting, so that they could give you adequate details how to do this. Most likely this will be one of the two:
1) They will tell you what local path to use to save your backup. If the database instance is located on the same box as the file system that hosts your files they will be able to tell you what path to specify so that the backup ends up in "your" hosting folder.
2) They will tell you to use their tool (something like web control panel) that is hosting specific to obtain the backup of your database.
They also might suggest an alternate solution. Ask them they are in the best position to help you.