OK, go to System Controls > System > Advanced > System performance > Advanced (I hope this is accurate, since I use a german WinXP version. A screenshot can be found here: drop.io/tqnpund)
Here you should be able to change the virtual memory settings. I have set 2.3GB manually on the partition where the game is installed. I think 1x or 2xRAM-size is good for virtual memory.
Hope that helps!