http://www.memtest86.com/download.htm 

It creates a bootable CD or Flash drive that has a memory test.  If your computer won't start or it's acting flaky and you want to test the memory this works better than the built in Windows test.  I've used the built in test and it found no errors but memtest86 did.  When I replaced the memory all was good so I no longer use the Windows memory test.  There is a pro version for sale, the free version is adequate.

Most computers come with software capable of burning the ISO to a CD for those that don't;

1.  Ascertain if you have NERO or Roxio
2.  Do you have a CD drive that will burn a CD.
3.  1 is no and 2 is yes go to http://www.imgburn.com/ and read then go to http://www.softpedia.com/get/CD-DVD-Tools/Data-CD-DVD-Burning/ImgBurn.shtml  download and install the program.
4.  You can download the ISO for the memory test at the above noted link for memtest86.  Note where you save the file.  
5.  If you downloaded and installed IMGburn and have downloaded the ISO you can just double click on the iso and IMGburn will open offering to burn the iso to a CD.
6.  You will need to have a CD blank in your CD burner.