The procedure is simple: the application starts looking for Mersenne prime numbers, and won't stop until you tell it to, using an enormous amount of memory in the process.
Depending on the type of test you select at the beginning, you can test out your machine's RAM or processor. Just be careful if you have an older computer, since it can slow down a lot when it begins the testing process.
Prime95 is very useful to get your computer up to speed. It might not have an attractive interface, but it carries its task out perfectly.