Creating your own search engine is not a big issue with the availability of the current technology. Apart from that, if you want to get results thrice that of a single search engine.. here is a mechanism for you to search with Live, Google as well as Yahoo at the same time.
First: Goto this link exposed by Microsoft
Second: Beneath the Create Your Own, at the 3rd step, type http://mysearchoff.com/?q=TEST
The reason being that, http://mysearchoff.com is the place where you can perform a search with the above (Three) search engines. The trick is this, we are going to use this facility for our IE.
Final Step: Name the search as Sweet as you like and Press Install button.
By pressing the Install button the JScript of the webpage will install the search component on your IE. And you can see that on the top right corner of your IE with the name that you have given at the 3rd step.
Note: This works only with IE7 or IE 8. You can see that the search on my IE looks as seen below ..