Win 7 - Manage Default Printers
I knew since this was printer related it had to be somewhere in the "Devices and Printers" dialog but opening it up, I could not see this option. I tried directly searching from the start menu but no luck. Right click on a printer only allowed to set it as default printer.
However while trying that I could suddenly see the option "Manage default printers" on the blue bar in the "Devices and Printer" dialog. That is when I realized that this option is visible only when you select a printer in the list of printers already available. See the picture below that shows this menu option.
Not seeing the option when I don't have any printer installed makes sense, but having to select one in the list before I could set the default printers as per locations is a bit surprising. Later I found more details around this option here.