The first thing is, in this case, pay no attention to your inlaw! Better to discuss sports, food, etc.. but when it comes to such talk... I have heard this "the records have been destroyed" all too often. While some may have that is not your first issue at hand. I have some questions...
The second thing is that you need to know the exact place of origin
You said they arrived sometime 1902-1910, which tells me you have not located their ship manifests. The manifest will give you former residence and perhaps birthplace along with next of kin they are leaving behind.
I am guessing perhaps a Jewish background? In which case there are some excellent resoures found at Jewish Gen. As well Stephen Morse (of 8086 fame) who is of Jewish background has done a great deal with search tools including the well known One Step Search.
What are the names, given and surname, that you are searching for?
What are suspected birthdate?
Where did they settle in the US?
Here are some links which may be of interesthttp://genealogy.about.com/od/russia/Russian_Genealogy_Famil...http://www.jewishgen.org/http://stevemorse.org/ellis2/ellis.html
And... when you come up with something you can impress the inlaws :)
Croatian Heritage Museum