said by ez2cy:
Is this something to worry about?
Yes. Your system is broken. Either the hardware is failing or some piece of software is buggy. Either way, you can't trust that system an inch. It's certainly not safe to rely on it storing anything you can't afford to lose.
The memory dump is not to 'protect the computer'. The system crashes ('blue screens') to protect against further possibility of data corruption. The memory dump part of the deal is for post-mortem analysis of what went wrong.
If you zip up the dump and post it here, someone may volunteer to take a look at it. You should be aware that the dump may contain traces of whatever you were doing at the time, so you'll have to figure out whether you trust people here