The smart folder button on the search box allows you to create smart folders:
If you click on this button, the Create Smart Folders dialog is displayed. Use this dialog to enter a name for the smart folder you want to create and to provide some training that will serve as an example of the type of information your smart folder should collect. You can do this by saving some files in the folder after you have created it or by entering some query text.
You can also use the dialog to specify how many files your smart folder can store and which Information 360 channels can be used as information sources. You can restrict results by age and relevance.
Once you're done, click OK to create your smart folder. The folder is created on your desktop and displays a little star whenever it contains new information: