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You need to place a server code/redirect on the old site that informs all the search engines to go to the new location. You should have a redirect in place anyway, so that users can get from the old location to the new one.
It's very important that you use the right kind of redirect; you MUST use a 301 "Permanently Moved" redirect. A lot of people make the mistake of using a "302" code, which means "Temporarily Moved." If you do that, search engines will never get the message that your site has moved and will keep indexing the old URL.
Once you've got the appropriate redirect in place, you can either wait for the search engines to respider the site (remember, this is an automatic program, not a person), which can take a number of weeks. If you want to be sure, you should pay for inclusion at AskJeeves, FAST (Lycos), AltaVista, and Inktomi.