How do you mean, correctly? You start the program, and the temperatures should be pretty straightforward. Try starting prime95 or some other torture test. The temperature that skyrockets immediately is the CPU temp, the one that slowly but significantly rises is the chipset, and presumably one of the others is the case temp. I think the standard HDD temp is titled HD0 (if your hard drive has SMART enabled). If you can't see the hard drive temp, try enabling it in BIOS. If that doesn't work, your HDD doesn't support SMART and you can't monitor its temperature.
I've used Speedfan for quite awhile (though I never got the fan speeds to work, probably due to my mobo already having a similar control system onboard). If the fan speeds are what is not working, there is an option somewhere in the configure menu to have the program in "debug mode". the box is automatically checked. uncheck it.
Any other questions?
-Paul
Cooler Master HAF 932
Gigabyte EP45-UD3R
Xeon X3370 @ 4.0
4GB OCZ DDR2-1150
Intel X25-M 80GB
WD Black 1TB
EVGA GTX 285 Hydrocopper
Swiftech 1/2" WC system on CPU and GPU