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Saving Searches
Overview
Both operating systems have the ability to save searches so that the user can quickly and easily access their results at a later point in time. OS X calls saved searches "smart folders;" XP has no "official" name for these, so we'll refer to them as "saved searches." Since smart folders/saved searches are just search criteria, they're not actually folders, and therefore they don't actually contain any files. Rather, they simply display the files that match the search criteria you specify in their settings. Both smart folders and saved searches can reside anywhere on your computer.
Mac OS X
To create a smart folder, choose New Smart Folder from the Finder's File menu. Alternatively, when you perform a search from a Finder window's search field, a "Save" button will let you save the search as a smart folder, and you can specify a name and location in the resulting dialog. Oddly, the "Where" drop-down menu in this dialog only contains three locations — a "saved searches" folder, the desktop, and your home folder — even though smart folders can reside anywhere on the system. To save a smart folder in a different location, you will need to manually drag and drop it there.You cannot save a search as a smart folder from the Spotlight menu or window.

You can edit the search criteria of a smart folder at any time by clicking its "Edit" button when viewing it in the Finder.
Smart folders will automatically update their contents as files are added, removed, renamed, or otherwise modified on your hard drive. You can view the contents of smart folders from within open/save dialogs.
Windows XP
Built-in Search
Windows XP lets you save searches for later use. Simply choose File > Save Search in a Windows Explorer window to save your search.

XP's saved searches do not always update in real time, however. For example, if a file is created that fits the criteria of the saved search, it will not appear while the search is open, so you'll need to close and reopen it to display the newly-created file. However, if a file is deleted, copied to another folder that has already been indexed, or moved, the search will automatically run again and update itself.
Windows Desktop Search
WDS allows you to save a search the same way as XP's built-in search does. Each saved search opens up in the full search window. Saved searches will update to reflect content that has been added, removed, renamed, or otherwise modified on your drive when WDS re-indexes those changes (which will be near-instant, assuming that the computer isn't busy).

Conclusion
While both operating systems let you save searches, OS X's implementation is a bit more integrated in that it treats smart folders as if they were actual folders (meaning you can browse them any way that you could normal folders, including from within open/save dialogs). Otherwise, saving searches on either operating system is a similar experience.
Mac OS X: 9
Windows XP: 7 (8)
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