A memory dump specifies what windows does if the system stops unexpectedly.
It can be disabled in WIN XP.
If you are running Win XP go to START/SETTINGS/CONTROL PANEL now select SYSTEM and then the ADVANCED TAB. Now go to the START UP AND RECOVERY window and select SETTINGS. In this window under the WRITE DEBUGGING INFORMATION panel is a box which is probably set to COMPLETE MEMORY DUMP. Select the box and then select NONE.
Hopefully that will have cleared it.