In both Mendeley Desktop and Mendeley Reference Manager, click the PDF icon or doubleclick the entry in your Library to open a document in the PDF Viewer in 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, export, or print annotations, see this blog post.
See also Mendeley's Guide to Reading and Annotating Your Documents.