My bad. It is in the Edit menu. When you first open an image they would be greyed out as there is nothing to Undo, remove from Clipboard or history. As you work on image brush strokes or cloning/healing/patches build up really fast as you can see in your History palette. Clipboard when you copy/cut anything. The Purge will no longer be greyed out. 
 
Also in Preference how much memory you are allowing Photoshop to use can be adjusted. If you have other programs open, Photoshop should be the last one to be opened for it to better analyse total memory and memory used.

I've been watching tons of video tutorials on lynda.com . I had a free month as a benefit when I registered my Adobe Design Standard CS4 suite. Going from CS to CS4 was a big jump. My brain is being filled with all the new stuff and old stuff I never knew about. Gotta say I'm loving the Rotate View tool along with the Birdseye view! Makes repairs so much easier when viewed at the right angle.