New desktop - checking for faulty hardwares

I don't think you can really test a CPU but only its cooling, in which case Prime95 or another burn-in test can help.

I'd worry mostly about the HD and memory because those tend to be the least reliable components, and about all memory modules with heatsinks on them are made with junk or overclocked RAM chips.

If the HD you're testing is the boot drive, then it's common for the reported speed to dip way, way down. I test with a self-booting program, MHDD, because when it scans drives, it reports slow sectors, not just outright bad ones, and many sectors need a few attempts to be read successfully, and with some 2TB HDs it's not unusual to find 1-10 that each needed over a dozens spins (seems to be consistent with models). There's a Windows version of this, called HDDscan, but it gives a lot of false positives, possibly due to delays caused by Windows.

I test memory overnight with several diagnostics, including Gold Memory, MemTest86, and MemTest86+. The last two are very similar but sometimes give different results. If the memory doesn't pass every test with zero errors at the default automatic settings and the recommended voltage, reject it, regardless of how many modules are installed or which sockets. I'd never trust memory rated for 1.65V.

I'd run Furmark on the GPU.