Click the Dot button on the search toolbar to turn on the "all files" search option to search through all open files in the current project. If a search command cannot find a match in the current file, it will automatically continue with the next file until either a match is found, or all files have been searched through.
The Fold Lines search command always works on the current file only, regardless of the "all files" option. The Highlight All option is a global toggle that will always highlight the current file, even when you switch files, until you turn it off, regardless of the "all files" option. All the other search commands respect the "all files" option as explained above.
Search|Prepare to Search
Search Option: All Projects
Search Option: Closed Files