Drupal 6 memcache configuration
First ensure that your cache confiuration are working witout Memcache. Disable memcache modules and enable caching through  the UI or in settings.php

$conf['cache_lifetime'] = '1800';
$conf['cache'] = TRUE;


Then check the response headers for anonymous users and look for x-drupal-cache. If it is a hit then you have it working if it's a miss then you must investigate further. You can check the cache_page table in the database table to start with.

If DB caching is working, proceed and add the memache settings and enable the module. Memcache integration only divert db cache to memcache. Once you do this, truncate the cache_page table, then check it after visiting pages as anonymous user. You can also check Memcache statistics. If the table fills up then memcache is not working fine and we will need more info. You can use drush to check the settings. drush vget |grep cache and post back. 

Lastly check cache settings at admin/performance/cache if it is set to external you need to change that to normal for Memcache to work.