One of the most useful features of Windows is the Event Log. It automatically records details of any problems that your computer encounters, and should be your first port of call if you're investigating any sort of unexpected behaviour from your PC. You can normally get to the Event Viewer by right-clicking on My Computer and then choosing the Manage option.
However, while the concept of logging all errors and unexpected events is a good one, Microsoft doesn't make it terribly easy to examine those logs. So if you want something a bit more flexible and powerful, there's a program called Event Log Inspector. You can get it from www.snmpsoft.com. Prices start at $4.99 per PC, for commercial use, but for non-commercial use it's free.
Among the most useful features is the ability to generate pop-up warnings on your screen to notify you of new entries in the log. You can also have these sent to you (or to anyone else) via email, which makes for a very handy way to keep track of friends' and family PCs to ensure that they're working properly. To avoid receiving too many popups and emails, you can filter on specific event types and set time intervals too.
If you're a techie and you want to ensure that your PC is always running at its peak, check out Event Log Inspector. It's only a 3 MB download, runs on Windows XP and above, and is available in both 32- and 64-bit varieties.
Thanks to Darren Lovatt for pointing me at this Hot Find.