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! }R[#?ty;]
g>rp@M
For your 2nd Q, like the upstairs's reply, the STEP files should be saved under ZEMAX\Objects\CAD Files. 6qWdd&1
=J-5.0Q\_\
Hope this would help :)