If you want to do strictly memory testing, two options are memtest86+ which runs from a bootable CD and the Microsoft memory diagnostic which is on every Windows Vista and Windows 7 installation DVD.
If you're interested in more in-depth diagnostic information and burn-in testing, I'd recommend something like AIDA64 (which used to be Everest but recently just switched back with new others). It has a ton of goodies and burn-in tests as well as a bunch of benchmarks to see how your machine compares.
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