Checking a pressure relief valve can tell you if it needs to be replaced. Since it is some work and cost to replace it, you want to check first.
Checking the Valve
It is possible the water heater pressure relief valve is not seating correctly. The find out you will need to open it up a few times to blow off some of the water. The water will wash out any sediment or obstructions.
Before you do this you are going to want to cool the water down. Shut off the power to the hot water tank. For and electric hot water tank you can shut of the breaker. On a gas hot water tank, you will want to turn the gas valve to 'Pilot' or 'Off'. Run hot water into a sink or tub. When the water is lukewarm and not dangerous you can stop.
Get a pail to catch the water from the valve. You want to hold the pail under the outlet when you release the pressure. The valve does not turn, instead you lift it up to open it. Open the valve or a few seconds and then close it. Do it a few times.
Turn the power or gas back on and let the water heat back up. See if the hot water heater pressure relief valve holds. Is it holding? Yes, well that is good news. NO? Then you will need to replace the valve.
WARNING!! The Water In Your Hot Water Tank Is EXTREMELY HOT!!! WARNING!!!
Replacing the Valve
If the pressure relief valve will not seat properly, or it is still venting when there is no pressure build up, you will need to replace it. See the article 'Replacing a Water Heater Pressure Relief Valve' for instructions on how to install it.