I have an SQL Server 2005 database, and I tried putting indexes on the appropriate fields in order to speed up the DELETE
of records from a table with millions
Indexes make lookups faster - like the index at the back of a book.
Operations that change the data (like a DELETE) are slower, as they involve manipulating the indexes. Consider the same index at the back of the book. You have more work to do if you add, remove or change pages because you have to also update the index.