When searching for collections of letter, journals, diaries, etc. you may have the best luck by going to the Classic Catalog and then, up in the upper right hand corner, click the drop down that says "More Searches." Change this to Subject and then type in the last name, first name of the author. Once you complete the subject search, scroll down until you see the appropriate subject. i.e.:
Thoreau, Henry David, 1817-1862 -- Correspondence
Thoreau, Henry David, 1817-1862 -- Criticism and interpretation etc.