Garry T. Williams:
yum install memtest86+
PerAntonRønning:
Done, it went smootly. Am I now supposed to burn a DVD for this program, and boot from that DVD?
If it hasn't already installed an entry in the boot menu, then as root, type in memtest86 (hit tab to complete, in case there's a + on the end), and hit enter. Then reboot, and pick it from the boot menu.
You can check what's in the boot menu, without having to reboot, by reading the /etc/grub.conf file while you're the root user.