I got off of playing BF1942 and there was a windows XP message saying my virtual memory was low and it was increasing. What does this mean? Do I need to do anything? thanks

Essentially, Virtual Memory is an area on your Harddrive designated to act with "RAM like" characteristics. Virtual Memory is also called a "swap file."

Here's a good read:

http://computer.howstuffworks.com/virtual-memory1.htm