Microsoft knows what you search for now. Okay, that is not entirely true. They knew in the past too, if you did not disable web results for the Windows Search box on Windows 10 (the little search field you get from the task bar or the start menu depending on your settings).
But here is what’s new: There is no setting in Windows 10 anymore that lets you decide whether you would like to share your search with Bing aka Microsoft or not. Whatever sensitive data you search for on your PC drive, that search request will also be sent to Microsoft.
However, there are smart people out there who find ways to prevent this. And the remaining one (if your are not a Windows 10 Enterprise user) is: Use the Windows firewall to prevent this. GHacks describes the firewall solution to this Windows Search privacy breach in a long-standing, but now updated post with screenshots. It is really simple! Even for those who think that they are not Windows experts :-)