I haven't updated this post in awhile and it is still getting a lot of visits. Just bear in mind that this was written over 1 year ago. I plan on putting the latest offerings through the paces and will post a new review.
Desktop search is in. Everyone either has a product out or has a product coming. As I've said in the past, I think these developments are a long time coming. I definitely get a lot of utility out of these and it's important for me to be able to find things quickly.
As it stands right now, MSN Toolbar Suite is my choice. This replaced Copernic, which was my previous winner.
What I like about MSN:
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It indexes a lot of file types, including source code.
12/21/2004: As Shannon points out in comments, you can in fact configure Copernic to index source code. This was in fact part of the reason Copernic replaced Google Desktop Search in the first place. I like that MSN indexes these by default, but then again I also like the flexibility of Copernic in specifying what gets indexed.
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Unlike the other tools, it has Outlook integration a la Lookout.
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It supports shortcut keys, which means that I can most of the SlickRun functionality in a single toolbar - which means I have more screen real estate. (See Brandon's tips).
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By turning off the buttons (again, see Brandon's tips below), the deskbar has a very small footprint. Again, more real estate is good.
What I don't like about MSN:
That doesn't mean I don't have my complaints, of course.
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You cannot explicitly exclude folders in Outlook. This means I'm stuck with Deleted Items, Receipts, and other folders I otherwise might not want to search.
12/21/2004: Alternatively, you can use Dmitry's (somewhat painful) way to specify what Outlook folders are indexed.
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I don't like the results screen. The UI doesn't feel as clean as Copernic. It doesn't have a full preview pane, which both Copernic and X1 have (I hate the inline preview). I do like the fact that, like X1 and unlike Copernic, I can actually select multiple items and even delete them inline (instead of just getting the context menu, which for some types doesn't have delete).
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It doesn't appear that there are keywords, like Google's filetype and so on. (Or I don't know them).
12/21/2004: I just didn't know them. Luckily, Josh does and pointed me to the documentation. I, too, now have a few pages of reference hanging on my cubicle wall. Josh also has a good set of MSN resources on his site.
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You can't (easily) change where the index files go - they always go in the Local Settings/Application Data folder in the user profile. Fortunately, unlike some other tools, they are at least not part of your roaming profile by default, but it's still a bit annoying.
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The Win+ shortcuts don't seem to work. Theoretically, CTRL+ALT+ is the same and WIN+ (and when you use WIN+ in the setting it explicitly sets it to CTRL+ALT). However, in practice, CTRL+ALT works but WIN doesn't.... and it's a bit more of a pain in the ass to make that combo.
12/21/2004: Dmitry and Josh both pointed out that you need to use SHIFT+ for the WIN+ keys to actually work. Weird, but it does solve the problem.
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As Mark mentions, e-mail is only indexed when Outlook is open.
Brandon has a number of really good tips here for MSN Desktop users.
I also have to wonder why - especially considering many of these products are offshoots of Internet search engines anyways - why I can't add an Intranet server to the list of locations to index. It would be really nice to just add a webserver (say, one with all the process documents) that would then be searchable. Maybe that will be part of the enterprise edition they will soon want us to pay for though.
12/29/2004: I noticed today that you CAN actually add a webserver location in MSN Desktop Search. I can't tell if it's actually indexing them or not - I don't get search results but then I haven't had less than 5,000 items left to index (even when I've left it for 2 weeks idle).

Some general thoughts on the other products....
**X1:
**Pros: Lots of options. The best working with results (can delete directly).
Cons: UI isn't very clean looking. Last beta didn't support Google-like keywords - instead use physically separate boxes. Performance is not great. Not free, at least until they release they Yahoo! Branded version.
Google Desktop Search:
Pros: Familiar, simple and very quick web-based interface.
Cons: Pretty limited extensibility (granted, there are patched executables out there that help fix this). No support for indexing remote shares. Very limited configuration options in general.
Copernic:
Pros: Much, much faster than previous versions. Very clean UI. Indexes files and new Outlook items immediately (event-based).
Cons: Doesn't seem to index all file types. 12/21/2004: The immediate indexing seems to cause some problems with RPC over HTTPS - constantly asks me to reauthenticate.
