That version is the thorough version, but a little more effort to use. You need to download it, install it to a floppy disk, then boot off the floppy disk. Here's another version that is not quite as thorough.
http://hcidesign.com/memtest/
It runs directly in Windows. Just download the zip file, extract it and run it. The trouble with this version is that it cannot systematically run through each address of your memory, because Windows won't let it. It has to randomly ping memory addresses and you just have to let it run long enough that it *probably* hit everywhere. You can run multiple instances of it at the same time which will reduce your run time. (The in app help text says 20 minutes, the html help file says and hour, and then later overnight.)
I have dealt with bad RAM on three different computers in the last couple years and each time this tool was able to find bad addresses within 20 minutes.
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