Either place the cursor in the upper right search box, hit command  + F, or click view in the System Preferences Menu Bar and then select "Search".
 
Mac OS X is smart enough to know where the Windows equivalent setting is located.  For example, you know how to adjust the performance options in Windows but don't see anything remotely related to power for Mac OS X, all you know is that it is most likely configured in System Preferences.  Just type "performance" into the System Preferences search box and see that related preferences begin to highlight and they also show up in the search box drop down.


The results update and narrow in on the most relevant preference as you type more letters.

There are two ways to select a preference, you can either click on the highlighted item or click on an preference listed in the drop down (a small animation will occur when the drop down preference is selected).

Not all searches yield a result

Just note that some searches will not return a result for a preference.  For example, Windows has an option under the Control Panel called "Add or Remove Programs".  If you performed a search using "add or remove" in System Prefernces, nothing would be returned because installing applications (software and programs) occurs very differently in Mac OS X.