Don't forget to look for "MEMORY.DMP" and/or "USER.DMP".
Whenever you get a BSOD and you have the box configured to save the memory dump it'll toss a file equal to the size of your RAM called MEMORY.DMP. You can use a variety of tools from Microsoft to then analyze the dump file and determine what happened.
USER.DMP is created by that lovable guy named Dr. Watson and contains application crash data.
Also, if you have 512MB of RAM you should be able to run most of what you want within the physical RAM space and not have to hit the pagefile (swapfile) very often. If you go into the Control Panel and hit the System icon, you can tweak the settings for the pagefile manually in order to control it's girth. Whatever size you decide on, make sure that the initial and maximum size is identical. This way, your pagefile won't be dynamic and cause a performance hit as it expands and contracts - it's one size all the time. An added bonus is knowing exactly how much disk space your pagefile eats. To see it's current size, look for PAGEFILE.SYS.
You can also move the pagefile to whatever drive you want and can even split up the pagefile across multiple drives. Be warned, however, that when you split it across multiple drives, you then have a performance hit on those drives when accessing the pagefile and other data on that drive simultaneously. The rule of thumb is to slap it onto the fastest disk you have assuming you have enough free space on it. Barring that, keep it on the system drive (usually C: unless you're multi-booting).
What I usually do (YMMV) is create a 2-4GB C: partition (depending on if it's NT, W2K, or XP) and pop the OS onto it. Other than system updates, driver packages, etc., I never install anything else to it. I then create a "scratch" partition that is twice the size of what I think my total RAM will ever be in the system. Onto that partition goes my pagefile, the i386 directory, and various other core application installation files - never any actual programs. This way if the pagefile for whatever reason trashes the partition from a BSOD or whatever, I lose no important data and can easily decide to blow away the partition and recreate it if necessary. With the remaining disk space I do whatever. That's where I install my applications and store my data.
Oh yeah...if you are using a RAID subsystem (you'll know if you are) don't ever throw the pagefile on anything but a single drive or a RAID 0 array. It'll be way too slow if you do.