Losing the hard drive in a computer is one of the most devastating failures you can experience, since the data is often the most valuable part of the computer. Even if all of the other components fail, the drive can still be pulled and the data transferred. But data recovery services for failed hard drives can cost thousands of dollars, and they aren't foolproof. If you don't have a good backup system in place, you should be checking your drive for errors regularly
Microsoft's Chkdsk is normally run in one of two ways, depending on whether you can get your computer to boot or not. If your computer can boot, you can initiate the scan from within Windows. In Windows Explorer, go to My Computer or This PC and right-click the drive you'd like to scan. Click 'Properties', the on the Tools tab, click 'Check now' under the Error-checking section, check 'Scan for and attempt recovery of bad sectors' then click 'Start'. The computer will then offer to schedule a disk check for the next time you start the computer; accept the prompt and restart the system.
When the disk check is done, it will display the results of the scan, but they'll likely flash by so quickly that you'll miss them. To see this log file after the fact, open up the Windows Event Viewer (type 'Event Viewer' into the Start menu's search field), expand the 'Windows Logs; drop down, and select 'Applications'. The Chkdsk log should be near the top of this list (the Source column should say Wininit) and if you scroll down under the General tab you should see the results of your test. If you see anything more than '0 KB in bad sectors', you should replace the drive.