I'm running 2007 as was the original poster and neither of us found a way,
the first reply states it's not possible. If you know a way, I'd love to
know how you did it. When I create a new search folder for unread, it only
lets me select folders from whichever account I have highlighted at the time
I ask to make a new search folder, when I try with no folders selected, it
defaults to personal folders.