uucknaaa's suggestion is good, but if you use a shortcut, search functions will not search "inside" them.
I'm not sure about searching into DFS links (but I doubt it woul work either). DFS would work otherwise.
The begining of this article is a pretty good outline of DFS:
http://www.windowsnetworking.com/articles_tutorials/Windows2003-Distributed-File-System.html