The free version of Memtest is a Windows program. Only the pay version runs from a CD or USB drive.
MemTest86/86+ are self-booting and pretty good, but for some reason the MemTest86+ version has never detected any errors for me. Another very good program is the shareware Gold Memory, and I use both because sometimes one will find errors that the other won't find for a long time. Test for 12 hours with each diagnostic.