Using Nero, you don't make a "data disk", that will just copy the ISO file to the CD making it virtually useless. The ISO is a complete copy, if you will, of a bootable CD with all the needed files.
You need to use the "burn image to disk" option. Just open up Nero, close the burning wizard if it pops up. Click Recorder, then Burn Image. In the next window select the Memtest ISO and click Open. In the next window, just click Burn and you're good to go.