It's not quite that simple.
You eventually wind up on
Then you choose the way you want to start it. You can have it boot from a CD or a USB. So you choose one of the options under:
MemTest86 V7.2 Free Edition (also includes V4 for old machines)
Image for creating bootable CD (ISO format)
Image for creating bootable USB Drive
If you choose the cd option, you download it and then right click and Extract All. That will give you the .iso file and a readme.
I like to use freeisoburner since it doesn't need a lot of configuration.
You can get it from:
Download it Run it and then click on Open and point it at the iso file you ust extracted.
Then hit Burn. You will need a blank CD
Once you burn the CD you then reboot and boot off the CD. (You may have to change the boot order in the BIOS so it looks at your CD/DVD first before the hard drive.)
The test will boot and it should be self explanatory then. Normally it goes through a series of test patterns. The idea is to let it go through the complete series at least 6 times. It will tell you if it finds a problem.
If you would rather use a USB then the only difference is you need rugus instead of freeisoburner.
Rufus is at: