Ok, here is a bit more in-depth answer.
Let's say you have a Western Digital hard drive installed in your computer.
Choose the option Western Digital Diagnostics, I think it's 5.04c for newer drives and external USB Western Digital hard drives and the other earlier version for older drives. (I find 5.04c works on almost every Western Digital hard drive BTW)
The utility will load the diagnostics
program for the particular hard drive you select.
For instance, let's say you think you Western Digital hard drive may be going bad. Load the diagnostics program (for Western Digital) and check the drive by selecting "Quick Test" or "Extended Test" (whatever your fancy).
I use the drive utilities quite a bit for doing system rebuilds. I like to wipe my hard drive then testing them before reinstalling my operating system. Not all the drive diagnostics programs have this feature though, in which case I use autoclave, found in another option of UBCD. ( I believe under File System Tools, last page?)
BTW I am using the Western Digital diagnostics utility only to explain this subject because I own a lot of Western Digital hard drives.
Hope this helps explain it a bit more.