I was having a hard time getting it to work as well. Here's what I did.
Download this file http://www.memtest.org/download/1.70/memtest86+-1.70.iso.zip and only unzip it once. For some reason, on my computer, the .iso file looked like a zip file after it had already been unzipped. With nero, open up the startsmart program and select "CD" at the top drop down menu. Select "copy and backup" from icons at the top. Then, on the top right you should see "Burn Image to Disc". Select that option and just select the .iso file you unzipped. You should be able to figure it out from there.
Make sure you have the CD drive selected as you 1st boot device in the BIOS.
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