I looked https://www.memtest86.com/tech_booting-cd-dvd.html
and I downloaded the file they link to there https://www.memtest86.com/downloads/memtest86-iso.zip
And within it i'm not entirely sure what file is the image file i'm meant to burn, but I found the memtest86 ISO deeply nested within the directory structure of it, having opened it in 7zip to browse it to find that.
So having downloaded memtest86-iso.zip then opening it in 7-zip, I found
C:\Users\User\Downloads\memtest86-iso.zip\memtest86-iso.iso\MEMTEST.IMG\MemTest86.img\
Within this zip file memtest86-iso.zip, there's this iso file memtest86-iso.iso
and i'm not sure if that is meant to be burnt, but within that, there's a "[boot]" directory, a boot.cat file, and a MEMTEST.img file. The memtest.img file is not meant to be burnt, because within that, are simply two img files. One called "EFI System Partition.img" and one called MemTest86.img And that looks like a file to burn.
I copied MemTest86.img to my Downloads folder so got C:\Users\User\Downloads\Memtest86.img
Then I tried to burn it with PowerISO.
When I open PowerISO it says that the unregistered PowerISO can't create or edit images over 300M. Well that's fine 'cos the image is 261MB and i'm not trying to edit it just burn it.
But PowerISO gives an error here
And Windows also. If I right click the img file and do "open with" and "windows disc image burner" it says "the selected disc image file isn't valid"
Added
Since within the Zip is a file memtest86-iso.iso
it has been suggested that I try burning that. I did try burning that and a computer I tried the DVD in didn't boot with it. Looking at the files within the ISO, (as sometimes they can indicate e.g. if the ISO requires UEFI or requires legacy), I don't see anything I recognise as bootable. It doesn't look like legacy DOS OS, or legacy linux OS.. and no dot EFI file. So that makes me wonder if it is bootable. See the contents of it below
And I tried it in virtualbox but didn't manage to boot off it. See virtualbox didn't recognise it as bootable media. (Note that I can't see an option in virtualbox to switch between UEFI or not, but I think it's legacy judging by the lack of an .efi file and efi folder, and virtualbox should be fine with legacy/BIOS)