If you're talking Sherlock 1 or 2 (before Jaguar), you could only search whatever had a plug-in...the .src files. If a site created one of these, you would drop it in Internet Search Sites folder in either Mac OS 9 System Folder folder or Mac OS X Library folder and Sherlock would use it. That's the most you could do to customize it.
If you're talking about Sherlock 3, it's probably similar but you should consult the help text (or possibly information about Watson--a product from which they unashamedly modeled Sherlock 3).