Cannot save Backup to a mapped drive location with SQL Backup script

Hello Experts,

I am using the following SQL Backup script:

USE master;
ALTER DATABASE MyDataBase
SET RECOVERY SIMPLE;
BACKUP DATABASE GF_Eharvest_2010
TO DISK = 'C:\Backups\MyDataBase.bak' WITH FORMAT;

ALTER DATABASE msdb
SET RECOVERY SIMPLE;
BACKUP DATABASE msdb
TO DISK = 'C:\Backups\msdb_MyDataBase.bak' WITH FORMAT

This works fine when backing up to the local C:\ drive..

When I try this it does not work:

USE master;
ALTER DATABASE MyDataBase
SET RECOVERY SIMPLE;
BACKUP DATABASE GF_Eharvest_2010
TO DISK = 'P:\Backups\MyDataBase.bak' WITH FORMAT;

ALTER DATABASE msdb
SET RECOVERY SIMPLE;
BACKUP DATABASE msdb
TO DISK = 'P\Backups\msdb_MyDataBase.bak' WITH FORMAT

P is a network share. Do you have to change the TO DISK to TO NETWORK or something?

Does anyone know how to do this?

Thanks!