At a high level, you're going to create a SQL Agent job that runs a SSIS package that extracts/pulls the data you want from your CRM machine and writes it to your local computer. The account that runs the SQL Agent job will need permissions on both machines (CRM & your machine). I'm assuming that the CRM data is in SQL Server. You don't mention the format you want for your output, but you can output SQL Server, Access, Excel, ... Get the SSIS package working locally through BIDS before running it remotely.
I know that's very high level, but I hope it gives you an idea.
Rob