A while ago I came across a blog post on the Live Search blog called "Add Search to Your Site with the Live Search Box". You can basically set up a fully featured site search using and simply include it in your page. You can select what "zones" to search (for example just your site, or your site and the web, multiple sites etc), and there is a choice between a really nice dynamic HTML version, and a plain vanilla HTML version.
I have added the feature to the top right hand side of my blog. Simply type a query and press the button. Since my site has been pretty well indexed by Windows Live Search, the results are very good. I will be removing the other search box soon in favour of this one.
One thing I would like to see is a revenue share for the paid ads that appear in the search results (a la Google AdSense).
Follow the link above to read about how you can add the feature to your own site or blog, or go straight to the Windows Live Search Site Owner page to get started.