When Your Computer Is Using Virtual Memory, The Operating System Builds A File Called The Page File On The?

That would be the hard drive, typically on the primary drive if the computer has more than one hard drive.  On a Windows PC that's (as was mentioned by another responder) the C: Drive. On a Mac OS X or Linux computer the drive would have a different label, but it's the same idea.

This video on YouTube gives a great & simple explanation of what a hard drive is.