Which utility should you use to troubleshoot hardware problems on window xp computer?

SiSoftware Sandra Lite (System ANalyser Diagnostic and Reporting Assistant) is good, comprehensive & free!
More specific is memtest to check RAM, CPU-Z & Prime 95 are good for checking processor stability.
The usual $64000 question is it hardware or a software fault! As you know software usually fails when a particular set of operations are performed, hardware fails usually randomly ( CPU over heating thermal trip being a notable exception).