Assuming that you d/l the Iso image from here
http://www.memtest86.com/#download0
I'm assuming that you got the zip version, then unzipped the iso image.
After that you should just be able to burn the iso (in nero the option would be something like burn disk from image file). And then boot off the cd that you created. If something else is/isn't happening, just post and someone should be able to figure out what is wrong.