Are you asking why you wouldn't create a named backup device in MS SQL and use it to indirectly specify the file name for your backups?

I've never bothered to create a "backup device" in SQL but I can see the benefits

1. You can look at the list of backup devices configured on your sever to see where all of your backups reside.

2. If you need to change the location for a backup you needn't dig into some SQL script, possibly within one or more jobs in SQL Agent. You merely need to change the backup device's location.

I'm not sure what other benefits backup devices provide. Perhaps if you wished to switch to direct tape backups in future (yuk - not recommended) then you could just change your backup device to point to tape rather than a file.

I think the main reasons are 1 & 2 above - the location of your backups has an extra level if indirection which makes it easier to change all of your backup destinations in one easy to access area.

SQLBill's suggestions are still very valid but I think he answered a different question - why would you use a removable disk device (such as a USB drive) rather than backing up to an internal HDD?

You obviously know where to create the backup devices but in case you don't, in SSMS you go to your server, then "server objects" then right-click on backup devices to create a new one.