swap files are a constant argument. Search google and you'll find thread GALORE about this, in every flavor of WinHosed.
I did find an article a couple of weeks back on how to force WinXP to leave Windows Executive in memory all the time, no paging. Good in theory, but only if your really using all of windows.
2 considerations the author brought up are :
1. how much memory are you using when your doing the usual (for me, gaming

). Do you have enough left for all 22mg of WinHosed?
2. Is WINDOWS being used enough to make this worthwhile? Now biz apps, Word Photoshop CAD stuff, they make use of far more of winhosed than Max Payne. Payne just needs to know how to access hardware.
/begin rant/
Personally I'm not burning cd's and surfing and chatting and listening to music (well mostly I'm not) all at the same time, and my games use every bit of memory I have. So my swap file gives windows a place to put all those modules that I'm not actively using, as well as the programs that I forgot to close before I started playing.
So IMHO any NonBiz incarnation of M$ software NEEDS a swap file of at least a couple of hundred megs. Gives that Fat Hairy Bloated Mad Cow called WinHosed somewhere to go when I'm using my computer the way god intended!!!!
/end rant/
P.S. Windows has the ability to automatically place software into pagefile. So when you open a program it may place unused portions of itself right into pagefile. Some software is written to live there