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A book I was reading, on sql server 2008, mentions how you should not directly logon to the db server to do performance monitoring etc.

This begs the question, what is the best way to do this task without going on the server? Run jobs? Through some sort of command prompts?

Thanks

A: 

In SQL 2008 you do it with Data Collection Sets.

Pre-2008 you'd use the trace procedures like sp_trace_create.

Performance counters you can log by creating a performance log using logman.exe (through the ETW infrastructure).

Remus Rusanu