Right click the Start button -> Settings. Enable "Show all settings" option and switch to the "Search Box" tab. There you can control if it searches programs, settings or files.
File search in the Start Menu searches what Windows Search has indexed. To control what files and folders are being searched/indexed, go to Windows Control Panel ->
Indexing Options. Click the Modify button in Indexing Options. There you can uncheck the folders that you do not want to be indexed.
All local files and folders that are included in Libraries are also automatically added by Windows to the list of items which are indexed.
For a comprehensive understanding of what the search box lets you find and how you can control what it searches, see the article on
Start Menu Search box usage.
One limitation as of Classic Shell 4.2.1 is it cannot search network shares added to Libraries like the Windows 7 Start Menu or Windows 8.1 Start screen searches in real-time (without indexing).