When I did some bulk insert SQL statement, sometimes later the Oracle server is hang, and the following message appear on the console:

Warning - The following error occured during ORACLE redo log archival :
Oracle Instance hhcl - Can not allocate log, archival required.
Press to acknowledge message.

I have started the auto archive, and the Oracle is running on the NT server. Could anyone tell me what is thge problem ?

I believe what is happening is that during your bulk load, LGWR is writing redo information faster than ARCH can copy the redo log files.  This message is not so dire as it appears.  If you are going to be doing this often, you probably should (a) increase the number of redo log groups, (b) increase the size of your redo log files, or (c) both.

Issue the command ARCHIVE LOG LIST to verify that you are indeed archiving.

I am new to Oracle, and have very limited concept on it.
I have created 2 Rollback Segnment for my Oracle DB, and each of the segment is associated with individual tablespace.
After that, I observed that these tablespace grows and increase in size every day.

My questions is :
1. Is it possible that as times go by, the tablespace will grow up until it reach the file system limited.
2. Should I limit the size of the tablespaces for Rollback Segment ?

By "associated with individual tablespace", I assume you mean each rollback segment is stored in a separate tablespace.  Normally, you would create a separate tablespace and put all of your rollback segments in that tablespace.  
Tablespace size is dictated by the size of the datafiles assigned to the tablespaces.  If the tablespace is growing, it is because you have autoextend turned on for one or more of the datafiles.  If growth is required, the files will keep increasing in size until (a) no more growth is required, (b) the maximum supported file size is reached,  or (c) your drive space is depleted.

You can either limit the size of the rollback segments or the tablespaces if you desire.  However, if more space is required for your data, you will have to accomodate that need somehow!