where is internet options

I've been a Windows user much longer than I've been a Mac user. Why dont' you go to Network Preference, click on the network to want to change on inspect (e.g. Ethernet or Airport) and click Advance button. See if that's what you want.

On what device?

What Internet options are you looking for? If for a search engine and you are using Safari, go to Preferences/General. You can choose a search engine - Google, Yahoo, or Bing.