If you've got something in there which is changing the defaults here and you can't navigate around SQL Server Management Studio, these commands executed in a command window should locate these .bak files for you,
cd c:\
dir /s /b *.bak
Might take a few minutes, but it's a sure fire method! Also, once finished, re-execute it for any other fixed drives you've got.
If you DON'T have any .bak files come up, then you've got a different problem as the backups aren't running.