This is one of the things that I prefer and like that HP does that at least recently I've not seen from Dell. The fact that I could run a memory test, and not just a status test, while a computer was still in Windows XP.
With Dell, I had to take the system off-line and then run a deep memory scan. With HP's online diagnostics memory test, I was able to keep the desktop system online.
This particualr desktop however, had no memory errors. the computer was acting very erratic. It would freeze, applications would hang, and the time of these accurances was random almost like a memory problem but without blue screens or hard stop errors. The applications and computer would just hang, requiring a hard reboot. This is also a symtom of a tempurature problem. I found this nice little program very handy for checking on the system fans and the tempurature of the desktop.
A nice little freeware product that's a nice little addition to the toolbox is called SpeedFan. Besides the memory test, I installed and ran SpeedFan and it really helped with the problem. It showed the sensores installed on the motherboard and their individual RPM speeds. It also showed the current temperatures of the sensors and not surprisingly, there was an image of flames on one of them and another fan with 0 RPM - it was not spinning at all.