Once PDFs have been added to your Library, you can click the PDF icon or doubleclick the entry in your Library to read the documents in Mendeley Desktop with the PDF Viewer (a separate tab).
In the PDF Viewer you can:
Search within the text of the document (using search box in upper right of toolbar) and view the highlighted search terms
Highlight text in the document
Add 'sticky notes' to annotate the text anywhere in the document. These annotations can be viewed in the Notes tab (next to the Details tab in the righthand toolbar). The notes, and any highlights, are saved with the pdf in your Library - for more about how to share or export annotations, see this blog post.