I also have seen the Out of Memory error message running SE IV under Windows 2000. My machine has 192 MB. Likewise, I have not seen the out of memory error when I play it on my 98 SE machine.
This bug doesn't seem to effect everyone, so I don't know. All I know is I had seIV using like 900mb of physical and virtual memory before it ran out It happens really quickly when I use a lot of fighers...less fighters used in the game, the slower the leak. (for me anyways)