A Windows server needs virtual memory regardless of being on a physical or virtual system. Windows was designed to use virtual memory, and consequently, the operating system expects virtual memory to be available to it. Windows tends not to function as reliably if you disable virtual memory.
So yes you should have a page file for your virtual machine, regardless of this this you can make sure to allocate enough physical memory to your VM so it does not exhaust physical memory. There are also alot of memory techniques that ESX does to conserve and optimize memory, it's also possible to have the VM you ESX virtual memory (vswp file) if you become overcommitted. See the links below for more info.
http://members.shaw.ca/bsanders/WindowsGeneralWeb/RAMVirtualMemoryPageFileEtc.htm
The Role of Memory in ESX Server 3 - http://www.vmware.com/pdf/esx3_memory.pdf
Memory resource management in Vmware ESX Server - http://www.vmware.com/pdf/usenix_resource_mgmt.pdf
Understanding memory usage in Windows 2000 - http://www.microsoft.com/technet/prodtechnol/windows2000serv/tips/w2mem.mspx
Memory performance - http://www.vmware.com/community/thread.jspa?threadID=65293
Memory Shares/Limits/Reservations - http://www.vmware.com/community/thread.jspa?threadID=73411