The USB flash drive is just not showing up.
Inside this tool ( Universal-USB-Installer-1.9.5.2.exe) I selected "Try Unlisted Linux ISO". I did try downloading the pre-compiled bootable binary for version 5.01 and tried to prep the USB flash drive with it using Linux Pen Drive. I can use the flash drive to copy files back and forth effortlessly, it just won't show up in the Memtest86+ prep tool. I also rebooted Windows to make sure drivers are loaded. I had it formatted with FAT32 inside Explorer to get rid of the extra software that SanDisk puts on it. The flash drive is a SanDisk 4 GB Cruzer Blade, just unwrapped, brand new. I tried version 5.01 and 4.20 on Windows 7 and got the same results. The menu is not showing any selectable item. Simply because I am unable to select my USB flash drive from the drop down menu. The name of the file you run is Memtest86+ USB Installer.exe but I am having no luck with it today. It's packed as a ZIP file and should work with Windows 7. The Memtest86+ website hosts a specially prepped EXE auto-installer file that will format your USB flash drive, copy Memtest86+ binaries to it and make it bootable.