Might I suggest you start with the new and improved Memtest86+ 1.55 located at
http://www.memtest.org/! It is based on the well-known original memtest86 written by Chris Brady located at the web site listed by the OP. The old Memtest86 3.2 does not have the more recent updates provided by Memtest86+ 1.55, which was just released today. Additionally, pre-compiled bootable ISO files are provided, which should make creating your CD a snap. Here is the procedure from the ReadMe file:
+ Run from CD
Memtest86+ is directly executable by any modern x86 compatible machine, by
writing the iso to a CD one can boot from the CD to run memtest.
Simply download the appropriate package, the Download - Pre-Compiled
Bootable ISO (.gz) for Linux users and the Pre-Compiled Bootable ISO
(.zip) for Windows users.
For Windows, unzip the package into a directory like C:\memtest. You will
now see a file called memtest86+-1.xx.iso in this directory. You will need
to burn this file to a CD with a CD recording program. Do note however
that you should not make a regular data CD on which you for instance write
your text documents and holiday photographs. Instead the iso file is a so
called image of a CD, it is a direct copy of a CD. Your CD recording
program will most likely have a feature called burn image or something to
that effect which you should use to burn the CD.
For linux, unzip the package into your home directory. and execute
'cdrecord dev=<your burner> ~/memtest86+-1.xx.iso' where you replace <your
burner> with the scsi address of your CD burner and replace 1.xx with the
correct version number of the memtest86+ your downloaded.
When the burning completed your drive will most likely have ejected the CD
and you should have a bootable memtest86+ CD. To run the test directly
reinsert the CD and reboot your machine.
Your machine should now boot from the CD, display the word Loading folowed
by a series of periods and then show a screen much like the screenshots on
the memtest86+ web page. The test is automatically started.
If your machine simply boots back into Windows/Linux you will most likely
have to configure your BIOS to attempt to boot from CD-ROM drive on
startup, refer to your computer's/mainboard's manual how to do this.
When you are done testing simply remove the CD and reset your computer, if
ever you want to execure the test again simply reinsert the CD and
reboot/start your computer.