To see an overview on Web Page Change Detection Services see
http://staff.philau.edu/BellS/keepup/detectit.htm.
While I PC based programs may work well, I like the Web based services. They can check sites every day and email the results. Hence the results can be received any where through webmail and your PC does not need to be going. I personally like Watch That Page
http://www.watchthatpage.com. It is a free service for normal use and is very good, but does not have all the features of some of the others.
My ideal would be to a have my own server based program, (written in PHP) andrunning on my own server. It could have the features of the PC programs and I would have full control of the program.
Chris