The default setting is for XP to ONLY return files in the "Search Results" pane - when they are registered file types to a program on your PC.
In other words if you are looking for a file that is NOT registered with an application on your PC, it will not be found using the default search settings.
However, you can turn off the default by a quick Tweak of the registry!
Open the Registry editor (type regedit from the Run command) and navigate to:
HKEY LOCAL MACHINE\ SYSTEM\ CurrentControlSet\ Control\
Double-Click the value named:
..and change the value from 0 to 1
Exit the registry editor and reboot!