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This white paper, authored by SQL Server expert Kevin Kline, discusses the basics of indexes, such as density and selectivity, effects of many versus few indexes, long versus short keys, covering indexes, and how the SQL Server optimizer chooses indexes.
Material adapted from `Transact-SQL Programming` (O`Reilly & Associates, ISBN: 1565924010) by Kevin Kline, Lee Gould, and Andrew Zanevsky, <http://www.oreilly.com/catalog/wintrnssql/>.