It sounds like your page file is too small for whatever you were doing with the system at the time.
Right click My Computer, go to Properties, and then Advanced, and into Performance Settings.
Click the advanced tab, and you will see Virtual Memory at the bottom.
You might have a single number in the "Total Paging File size for all drives: " text (a static page file), or it might be a range, like 2 - 1200 MB or something.
You might want to change the page file's size, and also make it static.
General rule of thumb that I can give you is:
System RAM: up to 512 MB RAM, you will want to make the page file 2x the size of the RAM in your system.
I make it 640 MB though, which is 2.5x the size of my physical RAM (only 256 in this machine).
If you have 1 GB, you can do with a page file of around .5 - 1x the size of your memory.
If in doubt, you can always have Windows automatically control the page file, though it can cause page file fragmentation.
Of course, if you have a 0 MB page file, the system could be giving you that message because of that.