You can use a program such as Prime 95 or Intel Burn Test to put stress on the CPU. These programs are normally used to see how high temperatures get under a high load and are not directly used to "test" the CPU.
You could run an application such as Super Pi to see how quickly your PC can compute Pi to a million decimal points. Or run any of several benchmark programs to get a score for your overall system or CPU/graphics subcomponents.
I'm not aware of any software programs to directly test the motherboard or PSU. Normally, those items are assumed to be working OK and within specifications UNLESS you have symptoms of some kind. You would need specialized tools to actually test them. For the home user, PSU and motherboard issues are usually diagnosed by a process of elimination and/or swapping in a known good unit to see if the problem disappears.