The setup utility that comes in Ubuntu Karmic (and many other Gnome based distros) is missing most of the older GDM setup utility's functionality. This application's goal is to put all of the functionality back in the hands of the users through a familiar and simple GUI.
To add this app into your package manager, execute the following commands from a terminal window:
sudo add-apt-repository ppa:gdm2setup/gdm2setup
sudo apt-get update
sudo apt-get install python-gdm2setup
The application will now update along with your other packages automatically and will appear in your System / Administration menu as "Login (GDM2Setup)".