What exactly are you concerned about? SoundCard/ Graphics? You can check all that shit once the OS is in.
You can use live CD's to run things like 'memtest' or 'hdparm' the former physically checks your RAM to check for problems, the later allows you to set parameters on the HD to improve power management, there are also tools for checking HD's. System Rescue CD is quite good for this stuff.
Good to see that M$ are providing such basic tools these days though, never saw them in Win95 when I used/installed as far as I recall.