You can’t set max heap size in .Net unless you host the CLR yourself in a process.
Edit:
To control the memory allocations of CLR including the max heap size, you need to use the hosting api to host the clr and specifically use the “Memory manager interfaces”, some starter info can be found here MSDN Magazine, column CLR Inside Out : CLR Hosting APIs
Edit: to answer you question, why would you want to control the memory allocation or specifically max heap size, you usually don’t want to, but if you’re writing an application that is like SQL Server or IIS or some real time application then you’d have a pretty good reason to have control over memory and specifically, avoid paging, otherwise the CLR itself and the OS already do a pretty good job for you, and what is left is to ensure your that application uses minimum resources for things to work well.