I've had this issue in the past - Windows Server 2008 / 2008 R2 both fail when you have set up a Windows Backup schedule with one USB drive, and then later try to add another USB drive if BOTH drives are not connected concurrently while you are adding the second drive. In specific, it states that "The filename, directory name, or volume label syntax is incorrect."

To work around this, either have BOTH drives connected when adding the second drive, or alternatively do this:

1. Attach the second USB drive
2. Ensure it has no volumes - delete any existing volumes

3. Run cmd and type in:

   wbadmin get disks 
   

   That should give you a list of volumes. Copy the GUID from the USB drive you want to ADD:

   wbadmin 1.0 - Backup command-line tool
   (C) Copyright 2004 Microsoft Corp.
   
   Disk name: DELL PERC 6/i Adapter SCSI Disk Device
   Disk number: 0
   Disk identifier: {8c00d211-0000-0000-0000-000000000000}
   Total space: 837.25 GB
   Used space : 320.43 GB
   Volumes: [OS],C:[(no volume label)]
   
   Disk name: WD Ext HDD 1021 USB Device
   Disk number: 5
   Disk identifier: {3c7feeb4-0000-0000-0000-000000000000}
   Total space: 1863.01 GB
   Used space : 0 bytes
   Volumes: There are no volumes on the disk or Windows is unable to retrieve volume
   information.
   

4. Next run this (using the correct disk identifier):

   wbadmin enable backup -addtarget:{3c7feeb4-0000-0000-0000-000000000000}
   

   The output will show you that it successfully added this drive, even without the first drive attached:

   wbadmin 1.0 - Backup command-line tool
   (C) Copyright 2004 Microsoft Corp.
   
   The scheduled backup settings:
   
   Bare metal recovery : Included
   System state backup: Included
   Volumes in backup: Local Disk(C:)
   Files excluded: None
   Advanced settings: VSS Backup Option (FULL)
   Location to store backup: XXXX 2011_09_12 11:09 DISK_01,WD Ext HDD 1021 USB D
   evice
   Times of day to run backup: 21:00
   
   Do you want to enable scheduled backups with the above settings?
   [Y] Yes [N] No Y
   
   Do you want to format and use WD Ext HDD 1021 USB Device (that includes no volum
   es)
    as the location to store scheduled backups?
   [Y] Yes [N] No Y
   
   Label the backup disk as XXXX 2011_09_15 15:21 Disk_02.
   This information will be used to identify this backup disk during a recovery.
   The scheduled backup is enabled.