There are two ways to add a search bar to a slicer in Power BI:
Method 1: Click the three dot ellipses in the top right corner of the slicer
Method 2: Click on slicer and type Ctrl + F
Both methods allow you to quickly add a search bar to the slicer.
The following examples show how to use each method in practice with the following report in Power BI:

Example 1: Add Search Bar to Slicer by Clicking Three Dot Ellipses
One way to add a search bar to the slicer is to click the slicer to make it active.
Then, click the three dot ellipses in the top right corner of the slicer:

Then click Search from the dropdown menu that appears:

This will automatically add a search bar to the top of the slicer:

Once you start typing in the search bar, the options in the slicer will automatically be filtered:

Example 2: Add Search Bar to Slicer by Typing Ctrl + F
Another way to add a search bar to the slicer is to click the slicer to make it active.
Then, type Ctrl + F.
This will automatically add a search bar to the slicer:

If you would like to remove the search bar, simply type Ctrl + F again.
This will automatically remove the search bar from the slicer:

Additional Resources
The following tutorials explain how to perform other common tasks in Power BI:
Power BI: How to Manually Add Row to Table
Power BI: How to Add Index Column to Table
Power BI: How to Add Column from Another Table