Assuming a decent spec server, would a simple search query on a big
indexed table be quicker than searching the amount of data divided into
separate tables?

The kind of situation I have in mind is a database of events during a
year, this table could top 1,000,000 enteries on the vague kind of
scheme I have in mind.  Would it actual help matters to have the data
stored in a data that fills up during the year and a new table is
started on Jan 1st e.g. 2006_data or would a table for each month be
better?  

There is only a small number of times that searches would be performed
on events greater than a week old, so most searches would be in the
current month table.  To me, this seems to suggest the overhead in
searching the data for the entire year would slow the majority of
searches for the benefit of the minority. 

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