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.