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! BjsT 9?6W/
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For your 2nd Q, like the upstairs's reply, the STEP files should be saved under ZEMAX\Objects\CAD Files. giX[2`^NG
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Hope this would help :)