In contrast to earlier versions of the Maintenance Cleanup task, the SQL Server 2005 version of the task does not automatically delete files in the subdirectories of the specified directory. To delete the files under first-level subfolders, you must explicitly select to do this by checking the Include first-level subfolders option in the Maintenance Cleanup Task dialog box.
Visit the below link for more information
http://msdn2.microsoft.com/en-us/library/ms345177(SQL.90).aspx