If the track you search for is in your library use Rugbys explanation.
If the track is not in your library and you are using the search from the top right you can have 2 behaviours.
If you type the name of the track there is quick find (changing while you type). You can click on that and it will open the album and you have to search your track (displayed on a grey background).
If you press enter the search results are going to be displayed. In the tracks section if you click on your track you get a blue menu and first option is Play - this is going to play your track without opening the album.