I have been using Memtest on a USB bootable flash disk since a long time. I was copying the tiny DOS executable in the bootable flash disk. Copying the exe file is easier than using the usb utility, if I already have the bootable disk. They say exe file is obsolete but I hope they keep supporting it.
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It was just an EXE file. I made by key bootable, created Autoexec, and ran the EXE.
Ultimate Boot CD = UNF UNF UNF
I'll use Memtest more often as a result.