There is also a free download called Memtest.
Have you checked that your laptop supports the size and configuration / combination of modules that you are using? Are there any forums on the Sony site that you can get information about the particular model and any reported issues with memory?
Did you use an online configurator such as Crucial or Kingston to ascertain the correct module? Many vendors offer a full refund if you use such tools to specify and order RAM but discover that it doesn't actually work.
I had a similar problem with a desktop PC based on an Asus mobo, where the manual and specs stated that it supported up to 2 x 1GB modules. Only after buying and installing them did I discover that in fact there was a bug in their firmware (never fixed) that prevented 1GB modules being used. I sold the modules on ebay
SD