ah, my bad Marque -- this is what i get for not actually clicking through the link and checking. note this is only for PCs.

here you go:
http://www.memtest86.com/memtest86-3.4a.iso.zip

thats a direct link to the zip. this time i downloaded it, extracted it and scanned for viruses. ive done everything short of actually burning it because unfortunately i have no CDs. this is the program i use. you only have to burn it to a CD ONCE and youll have the testing disc made, ive been using the same one for ten years now.

1. extract the .iso from the .zip

2. burn the ISO to a CD. this is a disk image, so you have to burn it as such and not simply burn as a data CD.
   i use Nero Burning ROM, in Nero from the main interface you click Recorder > Burn Image. in any other burning app just check the HELP files on how to burn an ISO image.

3. put the CD in your drive, reboot. when your system boots it will ask you if you want to boot from CD, click yes.
   the test starts automatically. there are several subtests, on the right it will say PASS 0 -- when that hits 1 you can quit the test and boot normally. your first time testing your memory you can let it run through a couple times for good measure (it just loops the test over and over). the time it takes depends on how much RAM you have, but overall its not a long time. should be a part of your regular system maintenance routine, check your memory every few months or so.

what it looks like when its running.

what it looks like when it detects ram failures.

if one of several sticks of RAM is bad you can use this to detect which one (by noting the memory address of the errors). like this guy above has 2 gigs of ram and the errors are around the 1800s - thats most likely his second stick, next step would be to remove the second stick and test again repeatedly. ideally you should see NO errors - there is no such thing as a 'small' memory error.
of course if you are using dual channel memory/paired memory this doesnt work, but it will still let you figure out which stick to chuck out. if you confirm that the RAM is bad, then mark them clearly with a piece of masking tape and BAD or BAD? on them and/or chuck them or warranty them. you dont want some poor shmuck finding them later and putting them in a computer unknowingly.