I just set up a new blog for a different URL than my main blog. Everything seemed to be set up right, but when I use the search feature for my new blog (which uses the URL of my first blog) I get this error message: Is there any reason for this? And can I upload another search file for my new blog, because I don't want people to see the URL of my first blog when they search.

You'll want to copy the footer module to both blogs because you can't see modules between blogs. You can see Index Templates though so you could switch to that and use a server side include to link to the same file in both blogs.