The tests pick up the pregnancy hormone hCG. If you are pregnant it starts off as a very smal trace of it then starts to increse. The pregnacy tests can pick up the hormone at a certain level, (depending on test they all vary abit.) Some claim they can pick it up as early as 5-7 days before your next period is due but doing one too early can give you a negative if there isn't enuff hormone there yet to pick it up.
Most tests will tell you the best time to test is when a period is missed.