Something along the lines of this would probably do it:
function wpse21372_init(){
add_rewrite_rule( 'your-page-regex/?$', 'index.php?wpse21372=1', 'top' );
add_rewrite_tag( '%wpse21372%', '([^&]+)' );
}
add_action( 'wp', 'wpse21372_wp' );
function wpse21372_wp( $wp ){
if( isset( $wp->query_vars['wpse21372'] ) && !empty( $wp->query_vars['wpse21372'] ) ){
//You're on your custom page.
//you may want to exit page
//execution when you're done
//so the rest of WordPress'
//normal execution doesn't take
//over from here.
}
}
After you’re done adding that code, make sure you flush the rewrite rules by going to Settings -> Permalinks.