You must put Memtest86+ on a CD or USB stick and boot your computer from this CD or USB stick. Here is how:
USB stick:
1) Download http://www.memtest.org/download/4.20/memtest86+-4.20.usb.installer.zip
2) unzip file and run 'Memtest86+ USB Installer.exe' (You need windows).
3) Put USB stick in a computer for test.
4) Reboot, select USB stick as boot device (Press F8 during boot on windows, do not know for Mac).
5) Memtest program will start with first test. One Pass, 8 different tests, will take about 45 min. (On my computer with 8GB).
CD:
1) Download http://www.memtest.org/download/4.20/memtest86+-4.20.iso.zip
2) unzip file and burn mt420.iso as image to CD.
3) Put CD in DVD/CD drive of computer for test.
4) Reboot, select DVD/CD drive as boot device.
5) See above.