Microsoft has released Power Toys for XP.
You can get the Tweak UI from here.
If you install tweak UI then run it there is a section on Internet Explorer-> search
where you can put custom searches.
so if i put in "lj" as a prefix and "http://www.livejournal.com/~%s" as the URL.
then all i have to do is type "lj godai" to see my livejournal. Haven't tinkered to much around with it. but that much works.
Oh this version of course is XP only but i know Tweak UI exists on the earlier platforms but i don't know if it has the same control on the search prefixes.