First, does this Memorex run on a battery? I tried to google, but do not know which model you have. If it has a battery, you will not have enough power to burn any media. You need to get one that has its own power supply preferably. Some portable drives do not supply enough power without its own power supply, but you can go ahead and try it. The Apple ones are ok, but there are better third party models.
Second, there is nothing to install: you plug in the drive. Set your Findeer preferences to show external drives on the desktop. It will not show up on your desktop until you have inserted a CD or DVD. Aside from that, you will also need authoring software to actually burn a movie such as Roxio Toast. There is also a free app called "Burn" - very basic, but will do a simple job.
And yes, I still use DVDs to create, edit, and author movies - I then send those to family who prefer using DVDs. And I use them as well.