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! f_\,H|zco)
t5t!-w\M$+
For your 2nd Q, like the upstairs's reply, the STEP files should be saved under ZEMAX\Objects\CAD Files. f8ucJ.{"
a6Zg~>vX
Hope this would help :)