Okay...first, you have to Download the "SMS Backup & Restore"
Once you've done that, then open the application and in the menu, and settings, make sure you back up the information to your SD card.
Once you've done that, backup your texts to the SD Card
Plug in your USB cord to the Android and Computer.
When you get the USB mount enable notification, give permission to enable the Card on your desktop (you'll see the warning on your Android)
The SD Card should mount on your hard drive and you'll be able to find the file you backed up on your SD Card on there.
Hope this helps!