The general advice in Windows is to place the paging file on the boot partition in order to get a crash dump file. Here is a snip from an older KB
"... However, if you remove the paging file from the boot partition, Windows cannot create a dump file (Memory.dmp) in which to write debugging information in the event that a kernel mode Stop Error message occurs. This could lead to extended downtime if you must debug to troubleshoot the Stop error message. "
Little known, is that this not necessarily the case in XP ( given the right fix ) and Vista etc.
Here are the two supporting KB's
XP = http://support.microsoft.com/kb/916157/en-us
vista + http://support.microsoft.com/kb/950858
Very handy for those servers with bajillions of gigs of RAM and the OS on the boot partition (the partition that contains the operating system) which is 2 gigs.