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Later MS-DOS versions and Windows through 9x had a program called Scandisk. In Windows 2000, WinXP and so on it's called Error Checking, and now it's integrated into Properties for the disk, Tools tab. This utility audits your file system, and finds and corrects errors.
File system errors typically happen when a program terminates abnormally; either due to a power outage, because somebody mistakenly thinks it's cool to turn off the PC without exiting programs, or due to an unresolved software conflict, resulting in system hangs that force chronic use of Ctrl-Alt-Del and End Task. This is not cool. Sometimes the program is in the middle of writing some temporary file in the background, and the file operation is left half completed. When that happens, areas of the disk can be sort of left in limbo; they're still there physically, but they're not listed in the directory system any more (you may see them referred to in error messages as "lost clusters").
Before you shut down a PC, always do the shutdown procedure from the Start menus.
"Lost clusters" is not the worst that can happen. It's also possible for program and data files (your documents) to get damaged. That might cause you to have to re-install an affected program, restore documents from your last backup, or maybe just lose something important.
If Error Checking is finding errors a lot, the thing to do is to take a look at how you and others are using the PC, and look for poor technique, or maybe problem software that might be locking up the system and forcing a reboot. Sometimes you'll find you have to eliminate a certain program, possibly turning to an alternative, to avoid conflicts. It's a good idea to run Error Checking immediately after any sort of crash, power outage, or forced reboot. That will immediately find and fix any resulting file system errors.
If you have a hard disk that's been in service for three or four years, and you start to notice a gradual increase in file system errors, it might indicate that your hard disk is wearing out. They're electromechanical devices with moving parts, and they do have a limited service life. This is not a good time to be neglecting your backups. The good news is that hard disk prices have been dropping like a falling rock for years; you can replace that disk cheaply with a faster higher-capacity one.