PassMarks MemTest86 is a standalone memory testing software for x86 computers. MemTest86 boots from a CD and tests the RAM in your computer for faults using a series of comprehensive algorithms and test patterns.
Use the CD burning software available on your system to create a CD-ROM using the the ISO image. Be sure that you create a CD image from the ISO file rather than placing a copy of the ISO file onto a data CD. Look for Burn Image from File or similar option under the File menu of your CD burning software. In version of Windows starting with Vista you should be able to right click the ISO file and select the Burn disc image option.
Some unzip software is capable of extracting the contents of ISO files. If you see a folder named ISOLINUX then you have extracted the ISO file. This is not what you want to do.