Perl, 226 char
sub h($){"row ",$%=1+($x=pop)/$W,", column ",1+$x%$W}
@S=map/[^ ]/g,<STDIN>;
B:for(@ARGV){
for$d(map{$_,-$_}1,$W=@S/$.,$W-1,$W+1){
A:for$s(0..$#S){
$t=$s-$d;for(/./g){next A if$S[$t+=$d]ne$_||$t<0}
print h$s,' --> ',h$t,$/;
next B
}}}
Character count excludes newlines and indentation, which are included for readability.
I assume the matrix of letters is specified with standard input and the target words are command-line arguments.
First line (after the sub h definition) maps all non-space characters into a single array @S. Then iterate over all the target words, over the possible directions that words may appear in ($W is the width of the puzzle), and over all of the letters in the current target word until a match is found.
$ perl wordsearch.pl CODEGOLF RACECAR BYKLHQU <<EOF
A I Y R J J Y T A S V Q T Z E
X B X G R Z P W V T B K U F O
E A F L V F J J I A G B A J K
R E S U R E P U S C Y R S Y K
F B B Q Y T K O I K H E W G N
G L W Z F R F H L O R W A R E
J A O S F U E H Q V L O A Z B
J F B G I F Q X E E A L W A C
F W K Z E U U R Z R T R A C E
C A R P H D F W H F E C G W Z
B J S V O A O Y D L M S T C R
B E S J U V T C S O O X P F F
R J T L C V W R N W L Q U F I
B L R A C E C A R R O W G N D
B C D E J Y E L W X J D F X M
EOF
row 12, column 8 --> row 5, column 1
row 14, column 3 --> row 14, column 9
row 3, column 12 --> row 9, column 6
