I am hitting some performance bottlenecks with my C# client inserting bulk data into a SQL Server 2005 database and I\'m looking for ways in which to speed up the process.>
BCP - it's a pain to set up, but it's been around since the dawn of DBs and it's very very quick.
Unless you're inserting data in that order the 3-part index will really slow things. Applying it later will really slow things too, but will be in a second step.
Compound keys in Sql are always quite slow, the bigger the key the slower.