You will need...
Memtest86+ CD, Download here http://www.memtest.org/. Hit the 'Download (Pre-built & ISOs)', unzip and burn onto a CD.
Boot your system while holding down the 'alt/option' key, keep holding until you see a boot menu showing your main hard drive icon (you don't have to have the memtest CD in at this moment, but you can, its up to you).
Slide in your Memtest86+ CD, and after a few seconds you will see a CD image pop up called 'Windows'.
And here's what it looks like on a machine with bootcamp configured.
Use the arrows or the mouse to select the 'Windows' CD and hit Return, or mouse click.
And on my work 2008 MacPro
(Notice the MacPro was the only mac that didn't diplay SPD information).
Any bootable PC based disks can be booted like this, regardless of whether you have bootcamp setup or not. So if you slide in an Ubuntu Live CD in and hold down alt it show up saying 'Windows', hit return and it will boot perfectly fine.
The last thing to note is pressing the Escape key like you would on a PC will not restart the system, well it didn't on the three machines i tried. Besides that, it works completely fine. Don't worry if it doesn't detect all the hardware information (like the SPD information on my MacPro), its not important.
In the past I have had systems that haven't failed until the second or third pass, so for best results always run Memtest86+ 3 or 4 passes.
Update: So it looks like my 2010 MacBook Pro i7 will throw errors in memtest regardless if its good ram or not, and no matter what version of memtest is being used. Apparently its a known problem, but no word if future versions of memtest will fix it. Back to the Apple hardware test disk I guess.