In Windows 95 go to the system control panel then select the performance tab. At the bottom there is a button called virtual memory.
When you push this button you get a panel with (among other things) two checkboxes. If you check the box to take manual control of virtual memory, then check the box to disable virtual memory, the swap file will be deleted. When you re-enable virtual memory the swap file will be recreated.
Changing these settings causes dire warnings to be displayed, and require the machine to be rebooted. This is normal.
The swap file is in the windows directory and is called win386.swp so popping up an ms-dos window and doing dir *.swp will show it.
Legend has it that when changing the amount of physical memory in a machine it is a good idea to delete and recreate the swap file.