By default, Windows will use the index when searching to give you faster search results. The search index only includes your selected locations. These locations can be filtered for what file types (extensions), file properties, and file contents you want indexed.
The index uses the Windows Search service and runs as the Searchindexer.exe process in the background. The index will automatically rebuild and update for changes made to the included locations since the last index rebuild to increase search result accuracy. By default, the indexing speed is reduced due to user activity. If the computer is running idle, then the indexing speed will go back to full speed to finish indexing faster.
The search index data files are stored in the %ProgramData%\Microsoft\Search\Data folder location by default. You can select to store the index to any internal location you like. You will not be able to select to use removable media, network, or external locations as the index location.
This tutorial will show you how to change the storage location of the search index data files in Windows 10.