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I would have agreed with you in past versions of Windows. However in WinXP the search feature has so many bits of hidden "functionality" that means it doesn't search the whole drive reliably anymore.

Download TweakUI. Go to the Explorer category, and look for "Use Classic Search in Explorer" near the bottom.

That sets the explorer search panel back to the way it was in 2000, where it doesn't burry all the options so deep.