Increasing the size of the page file will speed up you computer a bit and allowing you to run some heavy weight programs that use lot of virtual memory. It is a quite simple process.
Go to Control Panel
Click "system"
Go to "Advance" tab
Click "Setting" button under performance
Under Performance Option go to "Advance" tab
Click "Change" Button under Virtual Memory
If you are having couple of drives you can change the drive by simply highlighting the drive.
If you need to increase the virtual memory
select "Custom Size"
specify the Initial Size and the maximum size. Just make sure specify these values between the recommended virtual memory.
In Windows Vista the process is same as Windows XP.