What is md5sum

md5sum is a computer program that calculates and verifies 128-bit MD5 hashes, as described in RFC 1321. The MD5 hash (or checksum) functions as a compact digital fingerprint of a file. It is extremely unlikely that any two non-identical files existing in the real world will have the same MD5 hash (although as with all such hashing algorithms, there are an unlimited number of files that will have any given MD5 hash).
Because almost any change to a file will cause its MD5 hash to also change, the MD5 hash is commonly used to verify the integrity of files (i.e., to verify that a file has not changed as a result of file transfer, disk error, meddling, etc.). The md5sum program is installed by default in most Unix, Linux, and Unix-like operating systems or compatibility layers. BSD variants (including Mac OS X) have a similar utility called md5. Versions for Microsoft Windows do exist (see external links at the bottom of the page).

Example
1.If you download for example ubuntu-9.10-desktop-i386.iso and want to verify the integrity of the file open a shell and type:

md5sum ubuntu-9.10-desktop-i386.iso

the out put will be:

8790491bfa9d00f283ed9dd2d77b3906  ubuntu-9.10-desktop-i386.iso

Ok now go to this page UbuntuHashes and search for the md5hash for your distribution compare with your result.If they match then the file is ok.Some sites like snort provide the md5 hash in a file for download.To check the integrity of the file you just downloaded you must download the .md5 file too and use md5sum like this:

md5sum snort-2.8.5.3.tar.gz  -c  snort-2.8.5.3.tar.gz.md5

For windows you can use:
Jacksum - Jacksum is a free and platform independent software for computing and verifying checksums, CRCs and message digests
Fsum - a command line utility to check the md5hash.
HashCheck - is another utility to check the md5hash from explorer.
MD5Summer - is another standalone utility utility to check the md5hash.