Following James' observations, I've requested that the question be changed to apply only to SQL Server 2005, and the explanation reworded to add that you can in fact use SSMS 2008 to change the default backup directory.

Again, apologies to anyone that knew about the Facets method and got the question wrong because of that.

(No apologies however to anyone that didn't know about that way of doing it and thought you could set it in the same place as the default locations for data and log files ;-))

Duncan