I'd mostly agree with Buck, a 1000 row result set is no big deal...
Unless of course the system is looking through billions of rows across hundreds of tables to get the 1000 rows you are interested in.
Assuming a useful index exists, 1000 rows shouldn't be a big deal. If you have IBM i Access for Windows installed, there's a component of System i Navigator called "Run SQL Scripts" that includes "Visual Explain" that provides a visual explanation of the query execution plan. View that you can ensure that an index is being used.
On key thing, make sure the work is being done on the i. When using a standard linked table MS SQL Server will attempt to pull back all the rows then do it's own "where".
select * from MYLINK.MYIBMI.MYLIB.MYTABE where MYKEYFLD = '00335';
Whereas this format sends the statement to the remote server for processing and just gets back the results:
select * from openquery(MYLINK, 'select * from mylib.mytable where MYKEYFLD = ''00335''');
Alternately, you could ask the i guys to build you a stored procedure that you can call to get back the results you are looking for. Personally, that's my preferred method.
Charles