I have followed the instructions given here: http://support.microsoft.com/kb/969028 by the letter, but Windows doesn't seem to write a full memory dump.
I use NotMyFault.exe to blue screen the system to obtain the Complete Memory Dump, but nothing is written to disk. I've enabled page size to be greater than physical RAM (My machine has 6 GB of RAM), enabled PAE, etc. The crash dump is not present after the crash.
Edit: This is the 32 bit version, running on a 64 bit processor, with 6 GB RAM. I have Physical Address Extensions enabled.