If I understand you correctly, you're able to make a collective from the primary member of the collective, but not from the machine you are planning on being the secondary member. What the exact error message you get in PI Collective manager after you type in the credentials? Do you see anything appear in the PI SDK Utility's message logs on the secondary member when this fails? How about the System Event Viewer Logs? Do you see any connection messages on the primary member from this secondary member machine in the PI SDK's logs?
I believe he is running PI Collective Manager remotely and doesn't have the permission to create the backup folder, is it right Noga Avr?
If that is the case, you should try Eugene Lee's suggestion below: give your user (or "Everyone") full permission on folder C:\Program Files\PI.
Alternatively, manually create the "C:\Program Files\PI\Backup_2010522" folder and give full permission to just that one.
My suggestion is to try modifying the folder
to let 'Everyone' have read/write access to it.
Being able to remote into the machine doesn't mean the user can write to that folder.