Stefan.s,
Uncheck backing up the MSDE database of the local server and you won't get the error again - you are just not licensed for backup using the SQL agent.
You only need a CAL for a server operating system, ie. Windows 2000, NT4, 2003, Netware etc.
You don't need a CAL for NT4 workstation, XP, 2000 Pro - but these all use the "server" remote agent to back them up.
Win9x, MAC and UNIX have their own agents as well, and these do not need to be licensed.
Brian