http://www.linux.org
has some good beginner tutorials (i know i read up on linux as much as i could before getting a separate laptop to try it out on, this site was pretty good as explaining the basics)
anyways, swap space is located as a separate partition on the hard drive, its not mounted on the visible file system tho (the one that start with / ), its used by the kernel as explained by darthtux ...
i hear people usually say that the partition for swap space should be near the center of the hard drive (probably so it can access the partition faster), and that the swap space should be 2X more then the actual RAM
a swap partition is create as so (just in case you don't know), the partition will be on the hda drive (master drive on the primary ide slot), and contain 256mb of space (you'll most diffidently use more)
/sbin/fdisk /dev/hda
n[enter]
p[enter]
1 (enter in any number you want .. for this i chose 1 just so its simpler )
[enter]
+256mb[enter]
--now that should have created a primary partition with 256 mb of space, tho you could have created the swap in a logical partition, now to set the partition type to that of linux swap partition's --
t[enter]
82[enter]
-- all done here, now to save and exit --
w[enter]
now to create the linux swap's file system
/sbin/mkswap /dev/hda1
all done