Operating system error 2 is a standard Windows operating system error--file not found. Check the permissions on the folder and make sure that the account that owns the agent job has access to the folder and is able to traverse the path to the folder where the backup is trying to write.
Unfortunately, this is a Windows error message and not a SQL error. I found something on Microsoft Connect (related to restore, not backups) where they said they were not able to reproduce the problem and confirmed that this is an OS, not a SQL Server, error message.