I don't know of any easy way to search in your favorites. The only way I can think of would be to click on start->search and then click on "all files and folders" then click on browse, click on the + next to "My Computer", click on the + next to "Local Disk C", click on the + next to "Documents and Settings", click on the + next to the username you use, then click on "Favorites", then you can put what you want to search on in the search field on the left. That's the only way I can come up with.
-Steve