When the preferences window opens click on the Search button:
In the search tab of the Zotero preferences window click on the Check for installer button to start the installation process :
A window should pop up that will prompt you to run the installer for the program that will index your pdf files in Zotero:
Once you have run the installer you will have enabled pdf indexing in your Zotero library.
Pdf files that you bring in will have their text automatically indexed. When you search across your Zotero library you will also be searching the content of your pdf files.
If you would like to quote a phrase but cannot remember which document it is in, you can search Zotero to see if the phrase is part of one of your indexed pdfs. For instance in this example we will search for the document containing the phrase beginning with "His character shows a steady consistent growth":
Zotero will quickly locate the pdf where this phrase is located: