How to ensure a research idea has not been explored previously I am admittedly an undergraduate so I do not have very much experience yet in finding resources. 

When I have an idea of something I would consider worthwhile to research (in my case for a proposal to a supervisor about an undergraduate research opportunity), assuming I do extensive research online to see what has been found out about the subject and end up concluding that what I want to look into has not been investigated yet.

How can I ensure that it actually hasn't, and it isn't just a case of me not finding the information that is already available somewhere?
This is of course always hard to protect oneself from. However, I would say the best way to ensure that your research proposal hasn't been investigated before is to get in contact with an expert in the field and ask him or her this.

Of course, you should investigate the topic thoroughly before approaching the expert. One tip to do this is by using a citation index. This enables you to track how a certain paper has been cited, meaning you can follow the trail and more effectevly find out what has been done. For example, if you have located an old seminal paper in your field, finding out which papers have referenced this one should give you a fair chanse of finding what you're looking for.