This article applies to: Outlook 2016 for Windows
The following link will take you to a Microsoft help page:
But before you go, here's some additional information you may find helpful.
Search Folders is a feature that allows you to set up "virtual" folders that display all the messages that meet the criteria you specify. The messages themselves aren't actually moved to these virtual folders. Each message will be listed in every Search Folder whose criteria it meets.
Deleting a Search Folder does NOT delete the messages displayed there.
Deleting a message in a Search Folder does delete that message.