If you're talking about the graphical test that has large icons of hardware components with symbols that are either (a) a green check mark, (b) a yellow exclamation point, or (c) a red x (or something similar to that), that's called Mac Resource Inspector (MRI) and it is a part of a larger suite of tools called Apple Service Toolkit (AST).
AST is used by Apple Store Genius Bars and Apple Authorized Service Providers (AASPs) to do very quick surface level hardware diagnostics. It looks much cooler and more comprehensive than it is. Most times it is just looking to see if all of the components of your computer are detected as being there. For instance, it will not help you test to see if your optical drive is working; just if it is detected as being connected. It has been expanded to include the Cooling Diagnostics Test (for 2011 MacBook Pros with some of the cooling issues that are typical for those machines) and the Apple Storage Diagnostics test (for Macs from 2010 and newer), as well as the Apple Keyboard and Trackpad diagnostics (on select portables).
At both the Genius Bars and the AASPs, there is a NetBoot server set up that more or less acts as a gateway to the servers run by Apple that then serves up the tests. It's not one of those "here, you can try this at home sort of things"...unless you're friendly with or work at an AASP that will let you set up one of these gateways at home.
Again, it sounds way cooler than it actually is; you're better off finding the Apple Service Diagnostics (think Apple Hardware Test on steroids) for your specific machine and using that to test it.