We’ve just posted an article on dev.live.com that looks at a few simple hacks you can do with the Live Search Box, to change its look and feel. You can use these hacks to make the search box fit better into the design of your site. List of hacks:

Applying the Windows Live styling to the basic search box
Adding default text to the search box
Auto-selecting the search box when the page loads
Ensuring compatibility with ActiveX and other smart objects
But this is really only the beginning of what you can do