Creating a search page in Drupal is easy, exposing a filter in a block is easy too. The exposed filter-block knows where to submit the query to because it knows about the path of the search page.
But if you don't want to create a search page, just a Views content pane and insert that in a panel page, the exposed filter-block does not know where to go to as a Views content pane does not have a path. The trick here is to set the "Link display" to "Custom URL" in the Views content pane's "Advanced->Other" settings and fill out the path of the panel page that holds the Views content pane.
For instance, if you've made a panel page with "search" as the path and it contains your Views content pane for search-results... then set the "Link display" for that Views content pane to "Custom URL" and "search". Now the exposed filter will link to the search panel page.
If all else fails you can also try to set "Use Panel Path" to "Yes'".