You can only create a search folder for an e-mail folder in Outlook 2003 (817890)

WORKAROUND

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To work around this behavior, you must create a macro solution if you want to create a new search folder in a folder other than an e-mail folder. For example, to create a new search folder for the Calendar folder, create a Microsoft Visual Basic for Applications macro similar to the following sample macro:

Sub CreateNewSearchFolder()

   Dim objSch As Search

   'Create a folder that shows all recurring calendar items
   Dim strF As String
   strF = "http://schemas.microsoft.com/mapi/id/{00062002-0000-0000-C000-000000000046}/8223000b=1"

   Dim strS As String
   strS = "Calendar"

   Dim strTag As String
   strTag = "RecurSearch"

   Set objSch = Application.AdvancedSearch(Scope:=strS, Filter:=strF, _
      SearchSubFolders:=True, Tag:=strTag)

   If objSch Is Nothing Then
      MsgBox "Sorry, the search folder could not be created."
   End If

   objSch.Save ("MyCal") 'Change MyCal to the search folder you want to create
 
End Sub