Using the server admin console, you can select a server schedule, right click it and you'll see an option to run the schedule immediately. Thus, you can run the existing schedule immediately or you can create a specific schedule for your "on demand" backup and leave it as disabled so that it doesn't run normally, but you can select and run it this way to get a backup copy when you need it.
Yes but where are the backup files? How do I get to them?
The back up files will be stored in a directory specified in the back up schedule. One reason for setting up a separate schedule for this is that you can set up a shared directory on that server and set your schedule to back up into it. Then you can run the schedule when needed and reach across the network to that shared directory to copy it onto your personal machine.
The other option is to use remote desk top access to find and copy the backed up file from its back up folder to a shared directory on your personal machine.