1. Start Menu > Sql Server 2008 R2 > Import and Export Data (64-bit)
2. Data Source (source sql server & credentials)
3. Data Target (local sql server & credentials)
4. Select tables to export
Note, this only exports tables & their respective data.
If all you want is to copy the schema...
1. Right click on the database you want to export
2. Tasks > Generate Scripts...
3. Select ALL
4. Save to clipboard
5. Copy & paste clipboard contents to local database query window
6. Execute query
Note, if there are any custom data types, you'll probably have to create those manually