There are many ways to test, but the method used most often is MemTest86+ . You download the .zip file that contains the .iso file. Burn the .iso to a cd as a bootable disc image. Put the cd into your computer and the test will start on its own. This test is the best there is.
Alternative methods include:
1. Process of elimination: When you power up your system and hear the series of beeps that indicate a fault in RAM, pull out one stick at a time until the system boots.
2. While in your OS, download and install CPU-Z. Check the Memory tab. If you don't see all of your RAM, one (or more) could be dead.
3. Using Windows, press Start (Windows key) + Pause/Break to check the system info. If you don't see all of the RAM, chances are something is wrong with the RAM.
4. BIOS - probably the easiest way. When your system is going through POST, press the Pause/Break key to pause the test. Usually the amount of memory is dispalyed like this: XXXXXXXXXXXk (Where "X" is an actual number). If you have 4GB, the first X would be a 4. If you have 2GB, the first X would be a 2. Etc, etc.