Just wondering if anyone can let me know of a good procedure for setting up daily incremental and full backups to any location from a instance of MS SQL 2005.
Bonus points for anyone for can describe how to do it without Server agent (for Express).
A few more things to add:
Couple of blog posts with a lot more info to expand on what everyone's said: http://www.sqlskills.com/BLOGS/PAUL/post/Importance-of-validating-backups.aspx and http://www.sqlskills.com/BLOGS/PAUL/post/Importance-of-having-the-right-backups.aspx
The following free SQL Server Videos will also help give you an idea of concepts, best practices, and hands-on steps you'll need to implement (though they're targeted at non-SQL Express installations):
Also, as Paul mentions, I HEARTILY recommend regularly practicing how to restore/recover your databases. Because learning how to do it after a crash is positively the WORST time to figure it out... and there's no guarantee your backups are even working correctly unless you're REGULARLY testing them out.