In simple terms, 'swap space' is used when your computer decides that you don't need these files right now, but they should be easily accessible (it may seem strange but accessing files from the hard drive is very very slow in computer terms).
I just recently installed Ubuntu and was given the warning that it's highly recommended to reserve some swap space on the hard drive. The post linked by minerz029 has fairly simple instructions for creating a file that's used as swap space. However, if it's reasonable for you to overwrite your existing Ubuntu install, it may be easier to do that and in the process create a partition for use as swap space.