You should always have a page file as XP and other OS's based on the NT kernel are designed to use it.
Strictly speaking Virtual Memory is always in operation and cannot be “turned off.” What is meant by such wording is “set the system to use no page file space at all.”
Doing this would waste a lot of the RAM. The reason is that when programs ask for an allocation of Virtual memory space, they may ask for a great deal more than they ever actually bring into use — the total may easily run to hundreds of megabytes. These addresses have to be assigned to somewhere by the system. If there is a page file available, the system can assign them to it — if there is not, they have to be assigned to RAM, locking it out from any actual use.