You cannot walk into the embassy and request a visa (of any type) without a corresponding sponsor in Saudi Arabia. The visa process is entirely electronic; where the authorization is issued online.
So, your business associates have to apply for your business visit visa; once it is approved, they will send you a printout of the approval from the MOFA visa site
If you are not a permanent resident of the UAE, then you have to apply for the Saudi visa from your country of citizenship (or permanent residence). Although, there are provisions to apply from UAE (you need to be pre-approved).
All procedures for Saudi visas in the UAE are outsourced to VFS+Tasheel. At their website you'll find the requirements and their office locations.