for windows vista..

theres a new option known as readyboost
which stores the pagefile temporarily on the pen drive making it act as ram
u have to just connect the pen drive it will ask to use it with readyboost enabled.

just connect ur pen drive
it will automatically ask you if u want to use it with readyboost

http://darkhackersaj.blogspot.com/2008/06/how-to-use-ready-boost-in-windows-vista.html

for windows xp...

1st of all connect your pen drive
after that right click my computer and go to properties
here go in advanced tab
here u all see performance click on settings
then again advanced tab
then u all see virtual memory here click change

then click ur pen drive
and assign a page file of ur choice of amount