Are you talking about external search engines like Google? and that they're not including pages of your site? Or you have difficulty making your own one?
Most search engines use a spider to crawl for content, following the links from page to page, and given just the index page (which usually only contains a frameset), it may not find the other pages of your website to look for content in.
So, long story short: a site map which links to all the other pages of your website usually helps search engines find your pages. It also helps usability too.