This is similar to a problem outlined in this previous hint, but for the time being, I've solved the problem with an ugly hack, so I'm submitting it as a new hint.
In 10.5, there's no way to do a smart search on multiple locations (and even searching one specific location is a pain). I've searched everywhere and found no real solutions, but I've discovered it does work if you manually edit a previously-saved search in a text editor. This is obviously no good for quick searches, but if you want to use a saved search as a smart folder, this method will work.
First make a search with the other criteria you want (date, filetype, etc), but for any location and save it. Then go to your user's Library » Saved Searches, and you will see the search you just created. I'm not sure what other text editors you can use, but I used Smultron and it worked great. I dragged the search to Smultron on the dock and it opened it as a text file. There are many keys where it lists the location of the search, so I did a find and replace to change them all.
For example, you might find:
<array>
<string>/Users/Username/Documents</string>
</array>
Replace that with:
<array>
<string>/Users/Username/Documents</string>
<string>/Users/Username/Pictures</string>
<string>/Users/Username/Music</string>
</array>
Now, just save the file and when you click on the saved search, it will search all the locations. This is obviously not the best way to do this, but it will work until Apple realizes we might still want to search based on folders.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20080408061936354