Memtest is not an application in the normal sense.

If you read up on the Memtest site, part of the way it scans the full system memory is by duplicating itself in RAM. It then jumps from one image to another in order to test the memory from which it is running.

I don't think it can be run alongside a full operating system.

It might be do-able as a boot option, but that's just speculation on my part. I'm just as happy with a second boot disk.