No. CD-Rs are fine.
Basically, you need a blank CD.
CD-ROMs are NOT blanks CDs. CD-ROMs are CDs that already have stuff written on them and sold on shelves. Examples of this are PlayStation games, early PlayStation 2 games, and music CDs bought from your local Best Buy or wherever.
The two types of blanks CDs are CD-R and CD-RW.
CD-R: You can write data to them one time (except with multisession, but I'm not going to get into that). You screw up, you wasted a CD. It's now known as a "coaster."
CD-RW: You can write data to them multiple times (1000 is usually the advertised number, but crapper CD-RWs crap out after far fewer re-writes).
So, all in all, you have CD-Rs. Use it to burn your Memtest86 .iso to. If you need a program, ImgBurn is free.