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In the 'window' that appears, click the GPS link on the left. If the GPS link isn't there, the location can't be transferred to your GPS.
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Choose the location you want to transfer from the Include: popup, then choose Garmin from the Make: popup. Click the Send button. This should take you to the Garmin website. The first time you try it, you will need to install the Garmin Communicator plug-in. This works with Firefox for me, but not Safari. Download and install the plug-in, then follow the instructions. Be careful the installer doesn't take you back to Safari after the installation, make sure it's Firefox.
How about other locations, apart from businesses, Google?
UPDATE 7 April 2008: You CAN transfer the locations you find to the GPS, not just businesses. And it works in Australia, too. Either I missed it originally or something has changed in the past week. So just execute a search for an address, and when it's found, click the Send link (with the envelope icon), and choose the GPS link.