You need to click the "Add to Sidebar" item for a particular reading and then run the "HWiNFO32.gadget" file which is part of the HWiNFO32 package.
UPDATE:
Since version 4.06, the HWiNFO Gadget is no longer a part of the package. Please visit the Add-ons page http://www.hwinfo.com/addons.html on HWiNFO site to download this and other gadgets/addons.