A. The reason is that the SQL Enterprise Manager only lists drives that NT tells it are permanently attached. JAZ drives, ZIP drives, writeable CD-Roms etc. are all removeable media and so they aren't listed.
However, as long as there is formatted media in the drive, then all the MSSQLSERVER service does is issue standard NT i/o calls so is happy to write to it. You just need to use the underlying TSQL commands - issued from ISQLW etc. - to do the job. i.e. BACKUP DATABASE <xyz> TO DISK = 'J:\.....'
Alternatively for Jaz/Zip drives you can use the IoMega tools to mark the drive as non-removeable. After a restart of NT it should then see the drives.