A simple primer on how to get Memtest86+ to boot from a USB Drive or Hard Drive (without having to install an entire distro or DOS).
note: drive used here is a usb drive located on /dev/sda, so make changes accordingly (eg a hard drive install would use /dev/hdc instead)
First Step - format the drive
optional, only suggested if you're drive needs a good cleaning 
(this may take a long time given the size of the drive)
dd if=/dev/zero of=/dev/sda
Second Step - create FAT partitions (syslinux requires FAT)
this will create a FAT16 partition with the boot flag set
fdisk /dev/sda
n
p
1
[enter, enter]
a
1
t
6
w
Third Step - format FAT partition
mkdosfs /dev/sda1
Fourth Step - install syslinux
syslinux /dev/sda1
Fifth Step - mount drive and setup syslinux
mount /dev/sda1 /mnt/sda1
(look inside the partition, it should have a file called ldlinux.sys)
we now need to create a file called syslinux.cfg written with the following:
default memtest
label memtest
kernel memtest
Sixth Step - copy over the Memtest image
either grab the source and compile your own binary, or simple download the Pre-Compiled Bootable Binary from the memtest86+ site:
http://www.memtest.org/download/1.70...6+-1.70.bin.gz
gunzip the file, and you will find a file called memtest86+-1.70.bin, rename this file to memtest and copy it to the drive:
cp memtest86+-1.70.bin /mnt/sda1/memtest
Seventh Step - install MBR
you can unmount the drive now:
umount /dev/sda1
now install the Master Boot Record using lilo:
lilo -M /dev/sda (note, I installed it on the whole drive, not the partition)
Done. You can now try booting up the drive. Make sure you make the appropriate changes to your BIOS.
Errata
For testing I used an Intel D845 board and a Knoppix 4.0 livecd.
For posterity sake, I had initially tried using install-mbr to get a working Master Boot Record on the drive, but ran into multiple problems. LILO worked from the start.
If the admins here would like to add this to the FAQ, please feel free. If there are any mistakes, please contact me.
Enjoy 
Made by Qbrix