I'm doing it this way:
USE CEP_2014_09;
GO
BACKUP DATABASE CEP_2014_09
TO DISK = 'C:\Backup_teste\CEP_2014_09.bak'
WITH FORMAT,
MEDIANAME = 'z_CEP_2014_09',
NAME = 'Full Backup of CEP_2014_09';
GO
Mensagem 3201, Nível 16, Estado 1, Linha 1
Cannot open backup device 'C:\Backup_teste\CEP_2014_09.bak'. Operating system error 3(The system cannot find the path specified.).
Mensagem 3013, Nível 16, Estado 1, Linha 1
BACKUP DATABASE is terminating abnormally.