You want to get a backup of your MS SQL database to your local computer.
You can backup your MS SQL database with SQL Server Management Studio tool
Click Start -> Programs -> Microsoft SQL Server 2008 (2005) -> SQL Server Management Studio to start
You can login your SQL Server instance with windows Authentication or MS SQL Server Authentication to login
A. in Object Explorer, click the server name to expand the server tree.
B. Expand Databases, and depending on the database, either select a user database or expand System Databases and select a system database
C. Right-click the database, point to Tasks, and then click Back Up
D. The Back Up Database dialog box appears.
Select 'Disk' for the type of backup destination and click 'Add'
Click '...'
Select a path and entry your backup file name and click 'OK'
You will see the backup file
You will see the windows while finished