Looks like it's in the help! (slightly consolidated)
To do this
Go to the Toolbar Search box
Open your search query in a new tab
Open the search provider menu
Select the text in the Address bar
Why not stick with .URLs or .LNKs? I love it, but it's a customization I'd have to recreate on every computer I ever used. And I tend to use a lot of computers!
Some things - like putting Notepad in the Send To menu - are definitely worth spending the time on. But every customization has a cost, and sometimes it's cheaper to invest the five minutes in learning a new shortcut. (Er, and then the twenty-seven minutes in blogging it).