I'm a little late reporting this one, but Microsoft has made adding a Live Search box to your website as simple as filling out a form and pasting some code.  The Live Search box comes in two flavors:  1) A simple, HTML-based box that directs traffic to Live Search and 2) an Advanced search that shows dynamic results for mulitple pages (see below).

Since the initial announcement of the Live Search box availability, Microsoft has posted a couple of tutorials on hacking and customizing the box to suit your own needs.

It basically boils down to a matter of taste.  Which search engine do you prefer?  Who do you want powering your site search?  Regardless of what option you go with, adding search of any kind to your site makes it that much more usable by your customers.