Optimize data for speed

[Fabian Rami]

Hi all,

I am working with "Tele Atlas multinet" data set.

I try to figure out what processing must i do on this data to have some 
rapid working data  for Mapserver.
 
The data on the dvd contains a lot of file like that :

belbel________00.dbf.gz
belbel________00.prj.gz
belbel________00.shp.gz
belbel________00.shx.gz

What must i do with all this file to have some optimized data for 
mapserver.

Aaron said to use "shptree" for having a spatially indexed shapefile.
Is that all i have to do ?

Can i make 1 big shapefile or it is better to have a lot of small 
shapefile.

I don't know how to do! So, i am waiting for all your precious comment 
to help me to have a rapid and well configured mapserver :)

Greetings,

Fabian