Excellent step by step instructions here:

http://techtrainingnotes.blogspot.com/2008/11/sharepoint-group-by-on-more-than-2.html

For lists and libraries with large numbers of items, users can access the items with a mix of views and search. The following are some suggestions for views that work well with an indexed column:

Recently changed: To create a view of only the items that have changed in the past week, you can index the Modified column and then apply the filter Modified (Indexed) is greater than [Today]-7.

New items: To create a view of only those items that were added in the past week, you can index the Created column and then apply the filter Created is greater than [Today]-7.

My items: To create a view of only those items that you added, you can index the Created By column and then apply the filter Created By is equal to [Me].

Due today: For lists or libraries with a Due Date column, you can index that column and then apply the filter Due Date is equal to [Today].

Discussion board updates: To create a view of only the discussions that were updated in the past month, you can index the Last Updated column on a discussion board, create a new Subject view, and then apply the filter Last Updated is greater than [Today]-30.

People and Groups: If you have a lot of people visiting your site, you can improve the performance of the All Groups and All People pages by indexing the Content Type column for the User Information List.

Even if only a few people appear on the All People page, many people visiting the site will result in inactive users being written to the User Information List, which can still affect the performance of this list.
Find links to more information about creating or changing views and about formulas and functions that you can use to filter views in the

Note: Because creating views that use a column index correctly is more complicated for large lists and libraries, you might want to remove the Manage Personal Views permission from contributors for a large list or library. By removing this permission, you can prevent users from creating a view that spans all of the items and that might adversely affect the performance of the rest of the site.