Is your application a web application or a desktop application?
If its a web application you can use Google Co-Op, Rollyo or Yahoo Search Builder which will make you a customized search engine that will search only your site. You can then embed a search box in your site and it will search only your site.
If you have a desktop application, it will depend on that type of data you are trying to search for. If the data is within your own database you'll need to try and use some of the search features of that database to do that.
If your application saves different files and you want to search within them (considering they are text files or they are binaries and you know their structure) you can use Microsoft Indexing Service (which comes with Windows 2000/XP/2003) or Lucene which is an open source indexing engine that was ported to numerous programming languages and you can use in your own application.