Yes it was memorex, no it wasn't Cleo Laine and no she's not dead. I think it was Ella Fitzgerald. And no, a scream can't shatter glass. Sustained controlled sonic waves can if they resonate with the glass and open up small voids in its structure.
Resonance is the phenomenon that causes this - the sound source matches the natural vibrational frequency of the object (in this case the glass) and sets up sympathy vibrations in the object, known as "constructive interference". Oh yes, I knew those O-level physics lessons would come in handy 25 years later! It's what caused that suspension bridge (Tacoma?) to shake itself to bits in that famous and horribly compelling piece of footage - a relatively low but crucially steady crosswind, at the same resonant frequency of the bridge structure, set up a standing wave in the bridge.
The slogan from the ad: "Is it real? Or is it Memorex?" (The Memorex tape of Ella - or whoever - supposedly shattered the glass too).