Instant, 2UU (4) Counter target instant or sorcery spell. Search its controller's graveyard, hand, and library for all cards with the same name as that spell and remove them from the game. That player then shuffles his or her library.1
Illus. Don Hazeltine
It removes the countered spell from the game. This is because the first sentence puts the spell into the graveyard before you continue to the second sentence. [Urza's Destiny FAQ 1999/05/25]
If the spell is not countered (because the spell it targets cannot be countered), then it does not get removed from the game but all the other copies in the graveyard, hand, and library are removed. [D'Angelo 2001/04/16]
You have the choice to not find copies of the card in their library (see Rule G19.4). You would almost certainly want to find them all, however. [D'Angelo 2001/06/15]