To remedy this situation, the guys over at the GNOME project decided to try out a different way of accessing your settings - the control centre. Windows has a Control Panel, which follows a similar paradigm. However, I didn't like the Control Panel in Windows because of how long it used to take to load. Lucky I'm using Ubuntu now, right?
GNOME has had a control centre for quite a while as far as I know, but it hasn't been turned-on by default for some time. This is what it the new, improved version looks like:
Type a few letters into the Filter box and only capplets matching the search terms will be displayed. Then, just click on a capplet and change settings as normal.
It turns out that it doesn't work that well yet (it seems to make things slower to get at), so the default was reverted back to the Preferences/Administration sub-menus for Feisty. There's no saying that it won't be in the next version of Ubuntu though; some people prefer the control centre.
I think that it still gets installed by default; press Alt + F2, type gnome-control-center and then hit Run to start the Control Centre.