Windows XP has lame search capabilities by default. To get powerful indexing and searching capabilities, you need to download and install Windows Search 4.0 for Windows XP.
After downloading and launching, Windows Search Setup opens. Click Next.
Another License Agreement... Click I agree and then click Next.
Installing Windows Search might take some time, but when it's done, click Finish.
To read about using Windows Search, open the Use Windows Search article.