Season 2: Why was Penny searching for magnetic anomalies?

This will not be what you want to hear, but there does not seem to be a definite answer, only theories.

From Lostpedia (emphasis mine):

Soon after Desmond crashed on the island, Penny began searching for him. At some point, she managed to learn about the island, but the extent of her knowledge, and where it came from, is unknown. ("The Constant")

Then the incident you refer to:

Day 67 (Season 2)
2X24 Penelope
Penelope realizes Mathias and Henrik "found it". ("Live Together, Die Alone, Part 2") Three years after Desmond's disappearance, there was a discharge and detection of an electromagnetic anomaly which caught the attention of two Portuguese-speaking men at the listening station. Penny was notified by telephone at 3:05 a.m., her local time, that they "found it." The callers referred to her as "Miss Widmore", indicating she was not married. On her nightstand was a similar photograph of her and Desmond as the one that Desmond carried. ("Live Together, Die Alone, Part 1")

Without any further information, the most logical explanation would be that she learned about the island through her father Charles Widmore and his company. (Most likely by snooping around, I doubt he did tell her.) Widmore was exiled from the island, but had extensive knowledge of the island and was searching for it as well. He probably knew about the magnetic anomaly.

As to how Penny knew that Desmond was on the island: I read a theory that Charles Widmore wanted Desmond to end up on the island (most likely to get rid of him). That's why he persuaded him to take part in the boat race around the world:

Widmore attempted to bribe Desmond to cease the relationship and never see Penelope again. He sponsored the sailing race around the world that Desmond, in an attempt to regain his honor, was participating in when he crashed onto the Island.

So for me the most likely explanation is:

• Desmond disappears.
• After some time, Penny starts searching for him.
• She suspects her father's involvement, who tried to keep them apart before.
• Snooping around her father's files, she finds out about the island and that it can be tracked through the magnetic anomaly.
• That way she also finds out that Desmond is on the island, either because her father planned it that way or because he learned about it after the fact.

As I said, this is just a theory and I haven't seen the relevant episodes in some time, but this is how I always thought it had happened.