When performing a SharePoint 2007 backup you can receive the following message for your database backups. 

Object SharePoint_Config failed in event OnBackup. For more information, see the error log located in the backup directory. SqlException: Cannot open backup device &#39;&lt;backuplocation&#39;. Operating system error 3(The system cannot find the path specified.). BACKUP DATABASE is terminating abnormally.

The good news is that there is an easy fix.  Get in the habit of always using a UNC path instead of a local directory for your SharePoint backup locations.  The reason is if you are starting the backup from a server that is not the database server then the backup cannot find the path.

Another alternative is to have the same backup directory on each server but I would think that is more trouble than it is worth.