What hard disk drive did you choose for the page file (if you have more than 1 HDD)?
How much RAM do you have?
What values (initial and max size) did you use for the paging file?
For 2GB RAM use 3072 and 4096
For 4GB RAM use 4096 and 6144
For 6GB RAM use 6144 and 9216
-> Don't forget to use the SET button.
If you still have trouble check the box that says "Automatically manage paging file size for all drives"