these programs, such as Folding@Home, ususally work and save the data and when you connect to the internet they'll automatically connect to the central server and send the info there.
just read up a bit in the website of that project, i'm sure it explains everything there.
as for checking the temps, if your case has a temperature gague, i don't know how it works and what it measures exactly.
however all modern motherboards monitor the temperature of the chip and the motherboard itself, you can see that in the BIOS.
from within Windows i can recommend Motherboard Monitor 5, here's a link: http://mbm.livewiredev.com/
you can set it up very nicely to monitor voltages, temperatures, fan speeds and more, to have alarms go off if they are out of the valid range, you can have a "dashboard" of "gagues" on the screen that show you all the info continuously. very nice.
another way to "stress" your system, make it work hard so you can see how it performs, is to use Sandra.
i think the simple version is free, what you're looking for is the "Burn In test".
One Ring to rule them all, One Ring to find them,
One Ring to bring them all and in the darkness bind them
In the land of Mordor, where the Shadows lie
M.C. Escher - Reptilien