There are basically two kinds of searches that can be performed in Windows. There's the "Windows Search," where you type a string into Windows Explorer's search box (File Explorer in Windows 10) and it finds the documents in that folder containing your search string.
Then there's the "Indexed Search" which uses the search box on the Start menu to search for the names of files themselves. This tip introduces you to the Indexed Search. (By the way, the terms "Windows Search" and "Indexed Search" aren't official Microsoft terms—I just use them as a convenient way to distinguish the two types of searches.)
The Indexed Search, as the name implies, uses an index to point to files so that when you search for a file that's in the index, it is very fast. You invoke the search by either clicking the Start button or by pressing the Windows key. You can then immediately start typing, and the characters you type will be echoed at the bottom of the Start menu, which is the Search box.
The key to using the index optimally is to strike a balance between having a large enough index that it will contain the files you're likely to look for, while keeping the index small enough so that going through a huge index doesn't require a long time. Modifying the index is covered under separate tips.
This tip (12884) applies to Windows 7 and 10.
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