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
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.