http://www.memtest.org/

The version you nabbed is a boot CD. There is no in windows memtest version. You need to set your bios to boot from CD. Then have the cd in as the computer boots up. Instead of going into windows, it will boot from the cd into memtest to check your memory.
 
You have to set your bios boot order for cd rom first. If you don't nothing will happen. Go into your bios, set your boot order for your cd rom first. Once you save and exit, it should restart and read from the cd rom drive first. If your memtest cd is in the drive set to boot first..it will immediately boot into memtest.

Did you set it as the 1st boot device? There should be no reason why it shouldn't work. If your cd rom drive is listed as the 1st boot device...it will work.