like paws said most of those programs you mention are programs that will only run using a windows operating system.
you could probably run them under wine or in a virtual machine, but from what i understand, that's getting way more involved with a linux operating system than you need, and not the reason your using it.
i believe paws advised you to use it for a general test of your hardware only, so if it's running and you can view it's desktop and get on the internet, etc, then it's a good bet there's nothing wrong with your hardware, and any problems your having are all related to your windows operating system.
as for doing a mem test, if it's anything like the linux live cd's i've used before(never used puppy linux) when it first boots up there is a choice in the very first menu window, run puppy as a live cd, install puppy onto hard drive and a third choice of run a memory test(or something along those lines anyway).
just choose option 3 to test your systems memory, let it complete at least one full loop of tests(usually takes a fair bit of time to complete all the tests in a loop)
if you'd like to use it for more than just a general hardware test and need help with actually using it, instead of a windows operating system,
then i'll download and run a copy, so i can see exactly what it is your seeing when you need help.
linux is a great operating system, i use suse 11.2 at the moment,
BUT it's not the same as a windows operating system,
both have advantages and disadvantages, some of linux's advantages are no need to defrag, no need for virus/spyware scanners running in the background, some disadvantages are installing things can be a lot harder than windows 1 click way of doing things, problems getting hardware to work/if at all, windows games don't usually play.