See Path to Messages in Snow Leopard's Mail
Here's a quick tip on a new feature in Mail in Snow Leopard: the proxy icon at the top of a message window now works as it does in Finder, TextEdit, and many other OS X applications. (A proxy icon is, according to Apple's definition, "An icon in the title bar of a document window that users can manipulate as if they were manipulating the corresponding file-system object.")
That is, you can Command-click (Control-click and Right-click also work) on the icon in the title bar of a message window in Mail, and you'll see a pop-up menu, displaying the path to that message. Select the parent folder from the pop-up menu, and that Mail folder will open in a new window.
If you do a lot of searches in Mail and often want to get to a message's parent folder, this is one way to do just that. You could use the Show in Mailbox button that appears when you select a message in the list of search results, but this won't open the selected mailbox in a new window, and it will clear out your search terms when clicked.
Using this method, you need an extra double-click (to open the message in its own window), but your search will then remain active while you get sidetracked with the selected message. When you're done exploring, you can go back to the search results without starting over.