I have never understood why this dialog is so dumb in SQLServer 2000! Limiting backups to the same drive controller as the database is really bad practice. If anything, they should give priority to locations other than the database server.

After a couple of years of frustration, I discovered (duh, Jim!) that you can simply specify a remote backup destination manually. For example, right-click on the database in Enterprise Manager and select All Tasks | Backup Database. For Destination click Add. Then enter the full path to the backup file in the textbox under File Name. Same thing in the Maintenance Plan Wizard. I usually use UNC notation to avoid any mapping issues:

\\Backupserver\SQLBackup\northwind.bak