When your PC runs out of space in real RAM it swaps out the parts of it that aren't being used much to the hard drive aka to "swap space". If this isn't done, either the process crashes or the OS crashes ("bluescreen").
Because HDD I/O operations have to be completed before code is allowed to continue (to preserve integrity, so you don't get race conditions) the OS will temporarily stop whatever is accessing that RAM. This is why programs go unresponsive or stutter when there's a lot of HDD activity related to them. In the case of swapping, this can cause other stuff to stutter and go unresponsive as well, since the memory being swapped may be theirs or they might be using the HDD.
When you're doing real-time stuff like games, you want to avoid swapping as much as possible obviously. This means making sure there is enough real RAM left for whatever you're doing. In order to ensure this, you need to end memory hog processes ahead of time.
For Windows, there's 2