I used to do that way back in Windows 3.11.  I don't know if XP will allow you to put the pagefile on another drive.
I've been using another trick that may help, but I haven't benchmarked it to see if it helps.
1.  Right click over My Computer.
2.  Click the Advanced tab.
3.  Under Performance, click the [/b]Settings[/b] button.
4.  Click the Advanced tab.
5.  Under Virtual memory, click the [/b]Change[/b] button.
6.  Select No paging file, and click the Set button and then, click OK.
7.  Apply, exit and reboot.
8.  Defrag your disk.
9.  Repeat steps 1 - 5, select Custom size, and set both the Initial size and the Maximum size (in MB) to 1.5 to 2x the amount of RAM in your system.  For example, I have 2 GB of RAM so my page file is permanently locked at 3072 (3 GB).
10.  Apply, exit and reboot.
What this does is, it puts your pagefile in one contiguous block on your drive, instead of it being constantly adjusted and moved as a dynamic creation in Windows. Theoretically, that could give your system faster access to it, and other files don't get fragmented when they are written around the dynamically changing pagefile.
I've never had any crashes I could trace to this technique, and I can see the constant space it uses when I run Norton Speed Disk so I know it's doing what I intend it to do.  I'd love to hear what anyone else knows about this, including good and bad experiences from those who have tried it.