Using only jQuery/javascript in the browser, and a typically configured web server, this isn't possible. The filesystem of the server is not exposed in such a way that it is directly writeable from a client, that would be a rather large security risk.
To make it possible, you will need to employ some server side code, such as PHP to assist in writing the file on the server. At that point you can send the desired content, and name of the file as a request to the server side code and that code can then write it to your desired location on the server's file system.
Make sure to employ adequate protections so only certain (safe) files can be written to, by the certain users you specify, otherwise you could open the previously mentioned security hole.