If you are using Windows 7 then you might be in love with the Search Option which makes the searching of files so easy.

Its heavenly for me, I just type few letters and the result is right in front of me.

But, It only shows files from C Drive by default. you can change the setting by changing the indexing option so that it can search any file in the desktop.

If you are not using Windows 7, here is an easy option for you.

Google Desktop

After you install Google Desktop, just press Ctrl key twice and the search box will pop up where you can search any file on your Computer.

It lets you search any file or application installed on your Computer. Also, it makes a Windows 7 like sidebar where you can show Clocks, Feeds from your Favorite sites (What is RSS Feeds, Photos etc. There are tons of gadgets available.