The use of star as in The super star is great. Here is how to use this type of search across a whole directory.
Just add the mappings (or choose different letter combinations):
map gr :grep <cword> *<CR> map gr :grep <cword> %:p:h/*<CR> map gR :grep \b<cword>\b *<CR> map GR :grep \b<cword>\b %:p:h/*<CR>
Mapping one will search for the word under the cursor (like g*) in any of the files in the current directory.
Mapping two will search for the word under the cursor (like g*) in any of the files in the same directory as the current file.
Mapping three will search for the word under the cursor by itself (i.e. surrounded by word boundary like *) in any of the files in the current directory.
Mapping four will search for the word under the cursor by itself (i.e. surrounded by word boundary like *) in any of the files in the same directory as the current file.
Comments
Only the first of those commands will work when using gvim in Windows Vista.
Need to add a single quote around the \b versions (i.e. grep '\b<cword>\b').