Go Start>Run ("Start Search" in Vista), type in:
sfc /scannow
Click OK (hit Enter in Vista).
Have Windows CD/DVD handy.
If System File Checker (sfc) will find any errors, it'll ask you for the CD.
If sfc won't find any errors in Windows XP, it'll simply quit, without any message.
In Vista you will receive the following message: "Windows resource protection did not find any integrity violations".