Working With Large List in MOSS 2007 http://technet.microsoft.com/en-us/library/cc262813.aspx

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Example 1 (Apples for MOSS 2010):

SPQuery query = new SPQuery();
SPListItemCollection spListItems ; 
string lastItemIdOnPage = null; // Page position.
int itemCount = 2000
 
while (itemCount == 2000)
{
    // Include only the fields you will use.
    query.ViewFields = "<FieldRef Name=\"ID\"/><FieldRef Name=\"ContentTypeId\"/>";  
    query.RowLimit = 2000; // Only select the top 2000.
    // Include items in a subfolder (if necessary).
    query.ViewAttributes = "Scope=\"Recursive\"";
    StringBuilder sb = new StringBuilder();
    // To make the query order by ID and stop scanning the table, specify the OrderBy override attribute.
    sb.Append("<OrderBy Override=\"TRUE\"><FieldRef Name=\"ID\"/></OrderBy>");
    //.. Append more text as necessary ..
    query.Query = sb.ToString();
    // Get 2,000 more items.
 
    SPListItemCollectionPosition pos = new SPListItemCollectionPosition(lastItemIdOnPage);
    query.ListItemCollectionPosition = pos; //Page info.
    spListItems = spList.GetItems(query);
    lastItemIdOnPage = spListItems.ListItemCollectionPosition.PagingInfo;
    // Code to enumerate the spListItems.
    // If itemCount <2000, finish the enumeration.
    itemCount = spListItems.Count;

}

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Example 2:

SPWeb oWebsite = SPContext.Current.Web;
SPList oList = oWebsite.Lists["Announcements"];

SPQuery oQuery = new SPQuery();
oQuery.RowLimit = 10;
oQuery.Query = "<OrderBy Override=\"TRUE\">" +
    "<FieldRef Name=\"FileLeafRef\" /></OrderBy>";

int intIndex = 1;

do
{
    Response.Write("<BR>Page: " + intIndex + "<BR>");
    SPListItemCollection collListItems = oList.GetItems(oQuery);

    foreach (SPListItem oListItem in collListItems)
    {
        Response.Write(SPEncode.HtmlEncode(oListItem["Title"].ToString()) +
        "<BR>");
    }

    oQuery.ListItemCollectionPosition =
        collListItems.ListItemCollectionPosition;
    intIndex++;
} while (oQuery.ListItemCollectionPosition != null);