I use Spotlight, which finds any file whose name I know exactly on any drive, internal or not.
That said, there are a number apps out there that will find files for you.
EasyFind is just one such app.
I am using Mac OS X Yosemite, and I am having this problem that is really bothering me. I have a lot of data in my external hard drive but I can not search for them in mac, I did some research and it seems that I am not the only one having this problem