Virtual October is on the case of the "Missing Windows XP Paging File". The paging file is a swap file, or virtual memory file that Windows uses in addition to your RAM installed in your computer. Without a page file, Windows is sluggish and slow.
Even after I reset the Virtual Memory in Control Panel, System, Advanced Tab, Performance, Settings and rebooted there is still no pagefile.sys. I did this multiple times so I was sure I wasn't losing my touch.
Norton Antivirus was installed, that could be it. I was upgrading to Trend Micro Client Security anyway. So I removed Symantec Norton AV, installed the Trend Micro CS client and rebooted. No change.
Then I found a Microsoft article about the issue. Which directed me to a site about Intel's Application Accelorator. I downloaded and prepared myself to be let down again, but after the reboot, it worked. Pagefile.sys intact and working. Performance is much better now.