for your first question, if you aer using Non-sequental Mode then you could find MEMs directly under the NS object list, The DLL version is used in sequential mode alone! Xwz'h;Ks_
r=cm(AHF
For your 2nd Q, like the upstairs's reply, the STEP files should be saved under ZEMAX\Objects\CAD Files. l<8+>W`_
Zk<Y+!
Hope this would help :)