Running without Virtual Memory

Recently Upgraded Win2K Pro workstation to Win XP Pro. Working within WinNT v4 Client/Server Domain Environment. Warning message appears EVERY time I log on to computer locally or domain. Paging File missing or set to 0MB. Go to Performance Optionsand set paging file, etc… I’ve tried this but it does not rectify the warning message at log on. What DOES prevent the warning message from appearing is actually SETTING the Paging File to 0MB OR running WITHOUT a Paging File! What are the Pro’sand Con’s of running without a Paging File?