After reading this I am wondering if having an all virtual hard drive, if virtual hard drives even exist, with a single program on it would significantly improve that programs performance?
I think you are misunderstanding the point of that article. It shows how to turn write caching on, which means that data isn't written directly to the drive, but is instead cached in RAM until it can be written. This is helpful when you are doing disk intensive activities where you would otherwise have to wait for the writes to finish.
Virtual hard disks do exist, but they are not what you appear to think they are. Virtual hard disks are used in OS virtualization. What you seem to be looking for is a RAM disk. These exist, and there are many questions on here about their pros and cons.