blue screen

I have a new problem. I was running out of memory on my pc ,which is running on xp sp2.I got message saying windows was increasing my virtual memory but not too long after that,I got a blue screen ,I can only recall a line saying dumping physical memory or something like that.Now its telling me to insert the system disk and press enter?Whats a system disk? If I have to install the operating system,does that mean that ill loose all my files?
I have the sp2 cd.I dont have a bootable disk and sadly no backup.
Thanx for taking an interest.