It depends on your operating system.
In XP you can simply go to Start/Run and type in the following chkdsk /r (with the space) and hit Enter. (The /r option will repair any problems, hopefully).
If you have multiple drives (partitions) you can specify which one as in chkdsk C: /r (with the spaces).
It will throw up an error that the volume is in use try at next reboot Y/N? Hit Y and the Enter key. Reboot and it should hopefully start. It takes quite a while sometimes, depending on the size of the drive.
In Vista/Win 7 go to Start/All Programs/Accessories and right-click Command Prompt and select "Run as Administrator".
In that window proceed as with XP typing in the same commands.
Chkdsk checks the hard drive for read/write errors and corrupted data.