The general answer is "yes', though the more specific answer depends on what exactly you want to test and exactly how your machine is "all screwed up".
There are LEDs on all input and output signals on the PMDX-126. You can use those to make sure that input signals are making it through the optical isolation electronics (though this doesn't guarantee the signals make it to the parallel port pins). The LEDs on the outputs will show you if the signal as it appears on the screw terminals is changing when you (or Mach3, etc.) command it to.
There is also a self-test mode where the push-button on the PMDX-126 board can be used to generate step signals on terminal strips J1 to J4. See the PMDX-126 User's Manual for more information on this feature.
But before you go there, if you can give us some idea of exactly HOW your machine is not functioning, and what you've tried to do so far, we can perhaps outline some steps to try and diagnose and correct the problem. Please include what software you are using (Mach3, etc.), how you are connecting your PC to the PMDX-126 (parallel port, Smoothstepper, PMDX SmartBOB, etc.).
Bob