Well, analyzing big heap dumps can also require more heap space. Give it some more memory (possible by running on a 64-bit machine):
MemoryAnalyzer.exe -vmargs -Xmx4gAlternatively, edit the MemoryAnalyzer.ini to contain:
-vmargs -Xmx2g
For more details, check out the section Running Eclipse in the Help Center. It also contains more details if you are running on Mac OS X.
If you are running the Memory Analyzer inside your Eclipse SDK, you need to edit the eclipse.ini file.
The memory intensive parts is the parsing. Try parsing the heap dump from the command line. Once it has been parsed, it usually can be opened with less memory in the GUI.
The preference page is opened via a menu option.