Using 2003

In large files (20,000+ records on various sheets) is there an efficient way
or procedure to speed up the use of selecting choices with the AutoFilter
dropdown box(es)?

I have:
reset the last cell (on each sheet)
re-booted
released the filter before choicing the next option
and a few other stabs in the dark.

If anyone has some ideas that have worked plese let me know.
I wish that XL had a utility to "scrub" the .xls files for efficiency like
Access has.

Thanks Dennis