Not a file, a folder. When you make changes in Splunk they are put in the app\local folder. If you don't have a search\app\local folder, then the index was not created specifically for the search app.
From the UI, select Settings>Indexes, you should see a list with your index included. Which App is listed for that index?
Take a look in the GUI. Settings > Indexes. Find the index you created.
It will tell you which App context it was created in in the "App" column.
Your indexes.conf will be located in