What sn0man said.
If you want to run Memtest everytime you boot off the USB stick but don't want to have to type the filename each time, create a text file on your USB stick, name it autoexec.bat, right-click, edit, type mt400.exe, save, exit. Now, whenever you boot off the stick, it will run Memtest automatically.
Rename/delete the autoexec.bat file on the stick in Windows when you decide to stop running Memtest off it.
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