The best memtest is
this one anyway. That's an iso image. Download the file to a different computer. Use any of the methods on
this page to burn the file to a cd. The cd will be bootable. Now boot your machine from the cd you made. You may have to run your machine's setup program to tell it to boot from cd. (When your machine first starts up, you should see a message "Press F2 (or something else) for setup." PM me if you have problems.
When the cd boots it will automatically start running the memtest.