You can filter by any of the available criteria.

The text-based criteria - Nickname, City, State, Country - match friend who have this text somewhere in their respective detail. Countries, states and cities have to be properly spelled and not abbreviated.
Empty fields match everything.

User who have set their account setting to hide some of their personal details will not be searched.
For example, if people have hidden their age (birthday or year of birth) and you define an Age range, those people will not participate in the search.

The options on the right are for more advanced users, who know what regular expressions are and need more fine-tuning to their filters.
If you select the Don't check empty details option, the filter will leave users with empty details (no birthday, for example) into the final list. In other words, the filter will remove only users who are definitely not matching the criteria.

When you are ready with your selection, click the Preview button to see the result of your filter. You can click the Reset button at any time to undo. When you are satisfied with the results of you filter, click the Apply button to apply your filter.

If you select the Live preview checkbox, the filter will applied in real-time, as you type and change options.

Examples
Example #1: If you want to filter only the people who live in the United States, then you enter United States into the Country text field and leave all other fields blank of with their default values. Make sure that the Wildcard (*, ?) matching option on the right is selected. When you click the Preview button or switch on the Live preview option, only people who has listed United States as their country will be displayed in the table. To keep this filtering, click the Apply button.

Example #2: If you want to also catch people who live in Canada or have listed their country as US and not United States, you should use the Regular expression matching option. You should be familiar with Regular Expressions. There are plenty of online tutorials. Leave all fields empty or with their default selection and enter the following regular expression into the Country field:
^.*\b(United States|US|Canada)\b.*$

Clicking the Preview button will show only the people who have listed their country as one of the following: United States, US, Canada.

Click to expand/shrink. Windows / Mac