The default backup folder is set during installation and saved to the registry. You could change it here for the default instance:
HKLM\Software\Microsoft\Microsoft SQL Server\MSSQL.1\MSSQLServer.
On a SQL Server 2000, the default backup folder is also stored in the registry here for the default instance:
HKLM\Software\Microsoft\MSSQLServer\MSSQLServer
The usual caveat applies: backup your registry before making changes!