It's basically a special file on your hard disk.
It extends your actual memory.
e.g. your laptop may have 1GB of real physical memory, but many of the programs you are running will be idle most of the time so their memory can be written to disk (swapped out) and then read back (swapped in) when they need it again.
It's the equivalent of writing down a phone number that you'll need later, rather than trying to remember 10 digits and subsequently forgetting where you put the keys.
You can change its settings (in XP) at My Computer->Properties->Advanced->Performance Settings->Advanced->Virtual Memory
What can I do to clean it up etc?
Just make sure you have enough free hard drive space.
Maybe defrag your hard drive.