In every fairly recent version of Windows pressing Windows Key + F at the same time will bring up Windows built-in search box.
Depending on your version of Windows, it does work slightly differently and use a different interface with different options. Also depending on your version of Windows and what facilities you've switched off or on, it will either very slowly search through your entire hard drive for whatever you've asked it to search for, or do a quick look at it's saved index of your drive. In XP indexing was switched off by default, so it will always have to search your whole drive every time you do a search. In Vista and 7, by default they automatically index the parts of your drive that you're likely to search so that when you do actually perform a search they can come back with results almost straight away.
To complicate matter, you can also download Windows Desktop Search, Google Desktop Search, or a number of other desktop search apps for various versions of Windows that will index your drive and let you search it, and they all work slightly differently.