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Windows has a program called Scandisk, usually found in the Start menus under Programs, Accessories, System Tools. Scandisk audits your file system, and finds and corrects errors. Scandisk doesn't take very long to run, even on large drives.
File system errors typically happen when a program terminates abnormally; either due to a power outage, because somebody mistakenly thinks it's cool to turn off the PC without exiting programs, or due to an unresolved software conflict, resulting in system hangs that force chronic use of Ctrl-Alt-Del and End Task. This is not cool. Sometimes the program is in the middle of writing some temporary file in the background, and the file operation is left half completed. When that happens, areas of the disk can be sort of left in limbo; they're still there physically, but they're not listed in the directory system any more (you'll see them referred to in Scandisk as "lost clusters").
Before you shut down a PC, always do the shutdown procedure from the Start menus.
"Lost clusters" is not the worst that can happen. It's also possible for program and data files (your documents) to get damaged. That might cause you to have to restore documents from your last backup, or re-install an affected program.
When Scandisk runs, it goes through your drives and checks the directories and files. If it finds a problem, it tells you, and asks what to do. There are a number of options for "what to do," but they mostly are of no use to you unless you are a programmer. For an ordinary user, the thing to do is have Scandisk fix the problem, and don't have it save any damaged data to files, or make an "Undo" disk. If you were to decide that fixing things was a bad idea, an Undo disk lets you put things back the way they were ... namely broken. Again, not much use to non-programmers.
Scandisk also offers to do a "surface scan." This is a cluster-by-cluster test of an entire disk, in which Scandisk looks for bad clusters and can mark them as bad, so they're not used. This takes a long time and is generally unnecessary with modern hard disks; most users routinely bypass it.
If Scandisk is finding errors a lot, the thing to do is to take a look at how you and others are using the PC, and look for poor technique, or maybe problem software that might be locking up the system and forcing a reboot. Sometimes you'll find you have to eliminate a certain program, possibly turning to an alternative, to avoid conflicts. Certainly it's a good idea to run Scandisk immediately after any sort of crash, power outage, or forced reboot. That will immediately find and fix any resulting file system errors. In recent Windows versions, Scandisk will run on boot if Windows detects that the last Windows session terminated abnormally. (It's possible to bypass this, but you'd be better off to let it run.) It wouldn't hurt to run Scandisk once a week regardless.
If you never run Scandisk manually, it's probably no big deal. Windows runs it automatically after an abnormal stop, and Defragmenter runs it before it starts moving files around.
If you have a hard disk that's been in service for three or four years, and you start to notice a gradual increase in file system errors, it might indicate that your hard disk is wearing out. They're electromechanical devices with moving parts, and they do have a limited service life. This is not a good time to be neglecting your backups. The good news is that hard disk prices have dropped incredibly; you can probably replace your disk with a higher-capacity one for less money than you might think.