Testing your ground fault circuit interruptor should be done monthly. All GFCIs come with two buttons labeled "test" and "reset", whether they are part of an outlet or built directly into a circuit breaker. To test your GFCI, plug something, such as a lamp, into it which would immediately and obviously tell you when the power drops out, and push the test button. The appliance should lose power. Push the reset button to turn the power back on.
The test button works by bypassing the transformer coil which monitors the hot wire in the circuit. This means that the trip circuit will not detect the hot current but will detect the neutral current. Since this simulates a ground fault situation, it is an adequate test of the GFCI's ability to do its job properly.
The bypass directly connects the hot wire, through a resistor, to the neutral wire during the test. This arrangement allows the test to be performed without something plugged into it, but aside from the "click" the opening contacts make you have no assurance that the power was actually cut off until you plug something into it.