If you want to completely remove the pagefile from your system drive, you will need one extra step to Shinrai and mtone's answers. As a comment by paradroid mentions, Windows requires to have a pagefile present on your system drive in order to write kernel memory dumps in the event of a crash. So even if you set "No pagefile" on your system drive, Windows will end up creating a pagefile anyway, even if it doesn't actually use it for paging. Trying to delete this pagefile will show it to be in use.
In order to work around this, you have to disable kernel memory dumps, which is also done by going through the advanced system settings.
Under the "Advanced" tab, in the "Startup and Recovery" section, click "Settings..."
In the dialogue box that comes up, under the "System failure" section, and the "Write debugging information" subsection, change the drop down menu to "(none)".
After this, you should be able to delete the pagefile.sys from your system drive (although you might need to reboot first).