If you look at the indexing options in the Vista control panel and click the "Advanced" button, you'll find a dialog box with a "File Types" tab. This horrible dialog may show you (it did for me) that some file types (i.e., filename extensions) are deliberately excluded from indexing. For some reason. You know, because you may not want to find certain things when you look for them. I guess.
You'll also find the world's worst interface for specifying what kinds of file should be indexed by content. But never mind.
If searching by filename and/or path is all you're after, check out Everything:
If you're not using Windows as an Administrator, (and you shouldn't be) Everything won't seem very polished. But it is terrifyingly fast, and it's baffling that Microsoft's built-in search is this bad if something like Everything is possible.