Download it (https://www3.oclc.org/app/yahoo/), install it, and restart Internet Explorer. You will see a Yahoo box underneath the address bar (the exact placement may depend on what else you have installed). Type a subject into the search box, but don't hit enter. Next to the search box it says "Search Web". From this drop down menu select Libraries, and Yahoo will search for your keyword in just the OCLC database. All of the results should start with "Find in a Library" and clicking on them will lead into OCLC's records for each book, including the local libraries (once you have set up a postal code.)
The Yahoo search bar also gives you a pop-up ad blocker, quick access to Yahoo! Mail and other services. It is not available for any other browsers except Internet Explorer (at least right now). For other browsers, or for more information, try this good overview on Resource Shelf: http://www.resourceshelf.com/2004/11/oclcyahoo-toolbar.html. I did get NeedleSearch to work as instructed in Mozilla's Firefox browser, except that you have to click on the "repeat the search with omitted search results" to get everything. This is a feature that prevents too many results from the same domain from clogging up your search results and normally it's quite useful.