Geeman,
1) for best performance, files shall be stored (secured) in file system, not in database.
2) you can create the folder structure inside the portal directory and upload all files using FTP. Do a recursive sync in File Manager to index the files
3) you need to manually index the files using either Documents, Repository, Links or UserDefinedTable module, alternatively there are a number of commercial 3rd party modules.
4) there are 3rd party search enhancements (like QuickSearch from www.apollo-software.nl using MS index server) that allow to index files as well.
5) you may alternatively consider to use a document management module like DMX from www.bring2mind.net.