Hi Lindsay,
Please click on the Direct messages icon in the upper bar. In the left side pane, enter the keyword you want to search for in the Search field. To use the advanced search option, click on the arrow icon beside the field. There you can set up more criteria and focus your search based on time, tags and/or people.
The displayed results will highlight your keyword. If you want to learn more regarding the context where the keyword was found, click on that result.