In WSS3 you can set the masterpage of a site using SharePoint designer, just rightclick the new masterpage and set it to default.

This method however, does not set all the new created sites with the new masterpage. So, how can we deploy the new masterpage?

* Put the new masterpage in the following directory: C:\Program Files\Common Files\Microsoft Shared\web server extensions\12\TEMPLATE\GLOBAL
* Go to C:\Program Files\Common Files\Microsoft Shared\web server extensions\12\TEMPLATE\GLOBAL\XML and open de ONET.XML.
* At the bottom of the page add a new masterpage entry so it will look something like this:

This code will automatically put your custom masterpage into the masterpage gallery when a new site is created.

* Change the default masterpage to the new one. Look for the following line: and change it to your new masterpage.
* Hit save, and do an IISRESET.

Now create a new site and the new master page is set automatically.

Beware that when you create a master page with SharePoint designer you cannot just export the master page to the filesystem, because it will mess up your master page code. You can better copy the master page code to notepad, and save it as your master page on the filesystem.