As Elastep says, you can export data from MS SQL Management Studio - but that will only get you to .MDB-files; ie. prior to Access 2007. The steps below works both for 2007 and prior (although the actual path to execute them may vary in the different versions):
In Access you can import the tables from SQL Server - when in your target database in Access, choose External Data --> More --> ODBC Database. In there you can set up a connection to the SQL Server and choose between Import the source data and Link to the datasource. After selecting either, you can choose the tables you wish to import/link.
If you import, the data will be copied physically to the Access-file. It sounds like this is what you want to achieve.
However, as comments above suggest, this sounds off. Are you sure you want to move your data to a weaker engine? If you do want to keep the data in the SQL Server, whilst using Access only for forms, etc. you can link the tables instead. This way, you can use the rapid-prototyping, datacentric tools in Access, while keeping the security, consistency and scalability of the SQL Server.
For reference, you might want to take a look at this: http://office.microsoft.com/en-us/access-help/import-or-link-to-sql-server-data-HA010200494.aspx