There's really nothing to it, you can figure it out. We run these tests to make sure that everything is in good shape. Do you want to see if your processor has any problems? Run Prime95 or the @home programs to run it through it's paces. Just because your computer boots up to Windows and lets you surf the net, that doesn't mean that it's in good shape. There could be a small problem that causes the processor, memory or videcard to error out. What these programs do is stress the components to the point where any problem they may have will be pointed out.
For example, I was working on a server that was just built for us and it kept restarting under certain circumstances. We fought like hell to figure out what was wrong. One day, I downloaded Folding@home and ran that and within 30 seconds the server restarted. I took it back to the factory because I knew it had a faulty CPU.
You can use certain programs like Folding and Seti@home to stress test the CPU and Memtest for the memory. Programs like 3DMark will test your videocard.