A commonly-asked question.  By default, the general development settings profile will set the Find and Replace Window to Floating.  In Floating mode, you cannot dock the tool window.  Simply right-click on the tool window titlebar and select “dockable”.  Now you can drag and drop the tool window to a docking target.

More on the Visual Studio 2005 Tool Window Docking Model at
http://blogs.msdn.com/saraford/archive/2004/05/14/132065.aspx

Happy Visual Studio’ing!