It's not very useful anymore, but the other answers cover that.
As for the media questions:
The whole idea is having a dedicated HDD, as to make it faster than reading from page file (as if something else is accessing your main HDD, photoshop can't, and so can't get it's stuff back from the disk), so a USB stick may work slightly better.
If you recall, Windows Vista shipped with a "Readyboost" feature, which was similar to this, as it used a USB drive to help applications get their stuff from the page file faster. This is because while the maximum throughput of a USB2 device is slower than your HDD, there's no disk lag, so for small parts as the PF tends to be, it's brilliant.
One place where you MAY see improvements these days is it you happen to own 2 SSDs (because you'd have your OS and applications on the primary, obviously), you could use one as a scratch disk, which would make messing about with stupidly large files many times faster.