Once the local drives/resources are set in the RDP client then you can perform the backp to your local drive.
The ProfitSystem Backup directory look-up will not show your local computer's local drives. You must enter the specific folder destination on your local computer where you want the backup stored. Your local computer with Terminal Services is ALWAYS referred to as tsclient, so the the entry would be
\\tsclient\drive letter\folder\backup file name
example
\\tsclient\c\temp\backup.zip
Once you enter it in the Tools Backup utility it will be automatically remembered for the next time.