Well I'm not a Mac guy; I'm a UNIX guy, and so I'm not paying for StuffIt. In fact, I'm not paying for anything I can legally get for free. This is compressed using a utility called tar, which is on your Darwin (aka FreeBSD) system. I've been using FreeBSD since version 2.1.5 in 1996, and tar is a swell way to archive things. tar is also free.
After you download MemTest OS X 4.22, put it on your desktop where it's easy to find. Now use Finder and search for something called Terminal. Double-click Terminal and you'll find yourself at essentially a UNIX command line, though they named it Darwin so it wouldn't scare anyone off. Type:
cd Desktop <enter>
tar zxvf memtestosx422.tgz <enter>
You should see a load of files that just got expanded. When you're done with this, type Ctrl-D to exit Terminal and then Cmd-Q to quit Terminal altogether. You'll have a nice new folder on your desktop called memtest. This is where you can start the utility or read the lovely documentation this generous man has charged me for. You can even look at the source code if you're so inclined. It's now safe to trash the .tgz file. (In the UNIX world these are affectionately known as tarballs.)
A note on usage: You will want to read the man's documentation so you know what the hell you're doing, and you may well want to use Finder again to start the thing from Terminal. You'll get better results if you specify command-line parameters (which you cannot do if you just double-click the program to start it.) For instance, I wanted to test the whole pile of memory 255 times (an arbitrary maximum imposed by the programmer... basically he used eight bits to store this value and 2^8 = 256, and when you start ordinally at zero, 255 is all you get.) I also wanted my output to be logged. So the command-line needs to reflect that we're testing ALL the memory, 255 times, and that all the output should be logged. Here's the command (to be run from your Terminal program):
./memtest all 255 -L
In UNIX, you have to give it the pathname (./) because UNIX people think it's completely absurd that the program you're trying to run would actually be IN the directory you're working in... why even look there? So you have to specify it.
Another very important note. ALL of these commands are case-sensitive. If you're fond of typing in all caps, you're going to have to take a break. UNIX believes that 'A' has absolutely nothing to do with 'a', and that 'MEMTEST' has nothing to do with 'MeMtEsT' and so on.
If you have problems running this, you may email their crack technical staff at email@example.com. Be sure and ask why they're charging for downloads when cnet and sourceforge would be glad to provide free hosting space for their project. You might also ask about the 8-bits thing. Or you can stick it in your bung and set fire to it. The original Intel memtest86 utility is excellent... you can burn an ISO of it to a CD, and boot directly from CD, so you don't have to test with the overhead of the OS, which remains at a least a minor problem in OS X's single-user mode.