It's called Desktop Search [1] or Enterprise Search [2].

If you want to create your own solution, the easiest way is using Sphinx Search [3] (searchcode.com uses it too [4]) and a bit more advanced with Lucene [5] (and its related sub-projects) or Xapian [6].

If you want your personal Google Code Search [7] with its powerful scalable Regex functionality, Russ Cox published the related code [8].

[1] http://en.wikipedia.org/wiki/Desktop_search

[2] http://en.wikipedia.org/wiki/Enterprise_search

[3] http://en.wikipedia.org/wiki/Sphinx_(search_engine)

[4] http://www.boyter.org/2014/06/sphinx-searchcode/

[5] http://en.wikipedia.org/wiki/Lucene

[6] http://en.wikipedia.org/wiki/Xapian

[7] http://en.wikipedia.org/wiki/Google_Code_Search

[8] http://swtch.com/~rsc/regexp/