If you have the disk space, you can back up to your Linux server's disk system and then use FTP or other transfer mechanisms to move the backup to the Window's server.
If you do not have the disk space, then you'll want to back up to the Windows server directly. The correct application to use here is Samba. And the cost is right -- it's free! I'd have my SysAdmin install and configure Samba to point to the Windows server.
This was first published in April 2006