Default search engine of Microsoft Internet explorer is MSN. But there are better search engines available. I like yahoo.com and you may have your own preference. Recently I came across article that indicated how to change the default search engine through registry. Open registry editor by going to START-RUN and entering regedit and navigate to following three keys separately and change it as shown below:

[HKEY_CURRENT_USER\\Software\\Microsoft\\ Internet Explorer\\Main]
"Search Page"="http://www.google.com"

"Search Bar"="http://www.google.com/ie"

[HKEY_CURRENT_USER\\Software\\Microsoft \\Internet Explorer\\SearchURL]
""="http://www.google.com/keyword/%s"

[HKEY_LOCAL_MACHINE\\SOFTWARE\\Microsoft \\Internet Explorer\\Search]

"SearchAssistant"="http://www.google.com/ie"

(This example is specific to google but there is a Microsoft article that I found on their support site which described show to do it for many other engines.