The first simultaneous operation of the AURIGA detector* and the LIGO observatory* was an opportunity to explore real data, joint analysis methods between two very different types of gravitational wave detectors: resonant bars and interferometers. This paper describes a coincident gravitational wave burst search, where data from the LIGO interferometers are cross-correlated at the time of AURIGA candidate events to identify coincident transients. The analysis pipeline is tuned with two thresholds, on the signal-to-noise ratio of AURIGA candidate events and on the significance of the cross-correlation test in LIGO. The false alarm rate is estimated by introducing time shifts between data sets and the network detection efficiency is measured by adding simulated gravitational wave signals to the detector output. The simulated waveforms have a significant fraction of power in the narrower AURIGA band. In the absence of a detection, we discuss how to set an upper limit on the rate of gravitational waves and to interpret it according to different source models. Due to the short amount of analyzed data and to the high rate of non-Gaussian transients in the detectors' noise at the time, the relevance of this study is methodological: this was the first joint search for gravitational wave bursts among detectors with such different spectral sensitivity and the first opportunity for the resonant and interferometric communities to unify languages and techniques in the pursuit of their common goal.