To do a comprehensive search of library holdings around the world go to the Hunter Libraries homepage, click on Databases, pick the letter W, scroll down and pick WorldCat.
Once you are in WorldCat, put the following Boolean search into the "Keyword" search window:
"James Madison" AND (Sac OR Fox OR Winnebago)
You should see that there are a little over 200 results. For history researchers, a very important tab to click on from the results is "Archival." If you look at the example from the Boolean search above you will see that 14 archives have materials related to this topic of research. If you look through the results and click on ones you find interesting you will see more information about the relevant collection, especially in the "Abstract" where your key words will be highlighted.
As you consider an archival collection you first need to note how large the collection is: if it's one container it is fairly small, if it 13 linear feet of material or 60 microfilm reels it is a very large collection. If you go to visit the archives to use the collection you need to consider how much material you will find there.
Also look to see where the archives is: if it is out of state or in another part of the world you will need to travel there to use the materials since they cannot be sent to you. Some archives will make digital copies for you if it will not damage the documents, but they usually charge you for the service.
If you want to visit the archives and use the collection the next step is to search the internet for the archives homepage. Once there you should look up the collection finding aid which will give you a highly detailed list of what is in the collection, including what is in every folder in every box. Before you visit an archives in person you should first get in touch with the archivists there and tell them the specifics of what you want. If you show up without making arrangements and announce that you want to look at 15 boxes of papers to see if there is anything you might be interested in you will not have a productive relationship with the archivists.
Besides archival materials, WorldCat will also tell you about books that are not owned by CUNY. If a book is owned by CUNY and is not at Hunter, use CLICS, which is explained under the CLICS tab.
If you want a book that is not owned by CUNY you need to use ILLiad, which is explained under the ILLiad tab.