A ball is lost if you or your caddie cannot find it within three minutes of starting to search. A lost ball costs you one penalty stroke, and you play again from where you hit the last shot.
How long do I get to look?
You get three minutes, counted from when you start searching. If you find a ball but are not sure it is yours, you must promptly try to identify it and get a reasonable time to do that, even if the three minutes run out while you are doing it. If you can't tell whether it is yours in that time, it is treated as lost.
Time stops while the search is paused. For example, if you step aside to let a group play through, the clock stops, and you get your remaining time when you resume.
What do I do if I can't find it?
Take one penalty stroke and play a ball from the spot of your last shot. That is stroke and distance. If you hit a provisional ball first, you play that one and avoid the trip back (see Playing a provisional ball).
If you put another ball in play to take that penalty, your original ball is out, even if someone finds it afterwards.
What if I know where the ball went?
Different rules apply when you know, or it is virtually certain, what happened to the ball. If it is in a penalty area, you can use penalty area relief. If someone or something outside the game moved it, or it ended up in or on a movable obstruction or on ground under repair, you can take the relief for that instead of going back. If it is only possible, not certain, it is a lost ball.
Is there an alternative to walking back?
Some leagues use Model Local Rule E-5, which lets you take two penalty strokes and drop near the fairway instead of going back to your previous spot. It is a choice made by the committee for casual and league play, not for elite competition. See Out of bounds for how it works. Ask your organizer whether your league uses it.
The governing rule is Rule 18.2.
Local rules
Your league's committee may have local rules that change this. Ask the organizer which ones your league uses.