When working with Windows based clients you usually don’t come across DHCP option 119 because Windows just doesn’t use it. The Domain Search List for Windows is configured using GPO and not DHCP. But if you also use Apple OS or Linux OS based systems you may want to use this option even if you operate a Windows DHCP Server. If so, you will notice that, by design, Windows DHCP servers do not know anything about an option #119. You’ll have to configure that first.
If you finally have option 119 available for configuration you’ll see that you can’t easily configure it using the gui, because it wants you to submit hex values instead of domain names:

Windows Dhcp Server Dhcp Option 119 Available

Details on the format and how it exactly works can be found at https://tools.ietf.org/html/rfc3397.

If you don’t want to figure it out on your own, you can use a simple Powershell script which asks for a domain search list and a DHCP Scope Id to be configured:

Configure-DHCPOption119OnScope.ps1

DHCP Console before running the script:

Windows Dhcp Server No Dhcp Option 119 Configured

DHCP Console after running the script:

Windows Dhcp Server Dhcp Option 119 Configured