How To Generate a Memory Dump File in Windows Server 2008

To Create a Complete Memory Dump File:

Click Start, right-click Computer, and then click Properties.
Click Advanced system settings on the System page, and then click the Advanced tab.
Click Settings under the Writing debugging information area, and then make sure Complete memory dump is selected.

Complete memory dump is disabled by Default. You can enable the option if your computer has more than 2 GB of physical RAM.

Note If you want to enable the Complete memory dump option, manually set the CrashDumpEnabled registry entry under the following registry subkey:
HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Control\CrashControl

To Create a Kernel Memory Dump File from the Console Keyboard:

Start Registry Editor.
Locate and then click the following registry subkey:
HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services\kbdhid\Parameters
On the Edit menu, click Add Value, and then add the following registry entry.
Name : CrashOnCtrlScroll
Data Type : REG_DWORD
Value : 1

Exit Registry Editor.
Restart the computer.

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Windows Server 2008 is set to write an event log message with bugcheck information by default. This information is written to the location: C:\WINDOWS\MEMORY.DMP

Source and more info available at: http://support.microsoft.com/kb/969028