Thanks, yes, I found a directory under /var/lib/backups, so that storage directory appeared as an option in the Storage selection field.
I was setting up the NFS thingy which I'm new to, but it would be on my regular Desktop computer.
So, for now I'm just scp'ing my backed up file from Proxmox to my Desktop computer, as apparently the NFS setup is not worth it on a regular Desktop computer?