Yes, it is possible to backup MSSQL database to your local PC using MyLittleAdmin. To do so, please follow these instructions:
1. Log in, click on 'Tools' ---> 'Backup Wizard (Web Hosting)'
2. Select the database from the drop-down menu and choose a name for it where it says 'Set name'
3. Choose 'Backup' to continue
4. Within 5 minutes, it should backup your database and provide you with a link that you can use to download the new backup. It will be in .bak format.
I hope this helps.