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Make sure your closing connections after you use them. Access is bad about memory leaks with orphaned connections.
What is the SQL Statement? Are your 'where' clauses on fields that are indexed? Are you using 'LIKE' in your SQL statement?
First, post your query so we see exactly what you're doing, then we can also suggest proper indexing.
Second, post the relevant parts of your code.
Third, let us know your basic configuration- version of MSSQL, version of Windows, type of application (ASP, PHP, etc.), dedicated or shared server, etc.
I have been reading up on indexes and if i have got it right it kind of groups records? so if you have 30000 records of the alphabet you can select that as an index and that will then group by letter, have i got that right?
If i have then lets move on...i already have a primary key, so how do i now create this index, i use enterprise manager.