I looked at the widget source and seems that call to http://finance.yahoo.com/xml/findsym doesn't return correct data. But I managed to make it work by adding all my stock symbols directly to the sqlite database.
C:/Documents and Settings/[USERNAME]/Local Settings/Application Data/Yahoo/Widget Engine/Widget Data/Yahoo! Finance/finance data.db
Ohhhh, I just looked at the reviews... No wonder I can't get any stock symbols to work. I keep trying and trying. It doesn't work!!! Thanks for letting me know it's not me. Sure WOULD be a nice feature if it worked.