Virtual memory or page file is the space on disk where windows stores the contents of physical memory or RAM that are not accessed for a specific time interval. This way RAM is freed up to for other programs. You may get these pop-up messages when you are using programs that use a lot of RAM.
To increase Virtual Memory right-click My Computer to open "System Properties". Go to "Advanced" tab. Open up "Settings" under "Performance". A window titled "Performance Options" pops up. Go to "Advanced" tab. Now under "Virtual Memory" click "Change". Now click on the drive for which you want to set the page file. Select "Custom Size" and Enter your desired values (discussed later) and press "Set". You will have to restart your computer if you are decreasing the page file, however increases don't usually require a restart.
Now about what values you use. Virtual memory should be set to almost 1.5 times the amount of your RAM. For example if your RAM is 256MB the page file should be set to 256x1.5 = 384MB.
Note: You should set the minimum and maximum values to be the same. This will ensure that contents of page file are not being changed all the time.