If you have nero, first make sure its upgraded to the newest version since older versions of nero didn't burn images correctly. Then download and unzip the Memtest86 v3.2 ISO image .zip file from the Memtest website. There should only be a memtest86-3.2.iso file after it is unzipped.
After you've done that, open up Nero StartSmart. From there, go to the "Copy and Backup menu".(Icon has two disks and a safe). From there, click on "Burn image to Disk". Find where you unzipped the .iso image and open it. Choose your write setting and click next a few times and your set to go. Also, if it helps, I used CD-R media to burn the disc.