Hi Alan,
To expand on the above a little bit more than it was...
You can install the Remote Agent on that local server in 2 ways: Push install from the Backup Exec server via the selection list you create, or locally by browsing to the installation directory (ie. \\backupexecserver\installs).
Once you install that and Advanced Open File Option (if that server isn't an SQL/Exchange server), you are able to back it up.
You would open up your selection list like you did, and then click on that server. It will then show the drives that you want to back up.
Just be aware that if you want to back up Exchange, SQL, Lotus Notes etc, you would need to have those licenses installed in order to see them.
If you have any further queries about your original query, post them here.
Laters!