I haven't had any search folders, but I just figured they weren't supported in OWA. It turns out they are, but they won't show up when you are using Cached Exchange Mode (as most people using Outlook 2003/Exchange 2003 probably are).
There's a simple workaound: turn off Cached Exchange Mode and connect. Once you do, the folders are synchronized and will be available on OWA. Details here.
I'll try this when I get home and update this post with the results. That will make my weblog reading in OWA much more convenient!