There's a lot of information about this on the online-books which come with SQL Server.
Every database has 3 types or groups of files:
Primary/Main data file (.MDF): this is the base point of the db, it can store data, and/or pointers to pages inside the secondary files Secondary data files (.NDF): these files store data Registry (log) files (.LDF): these files are used to restore de db.
You can have 1 main data file, and many as you want of the other types. The reason for having more than 1 file of data, could be the limitation of 4GB in Windows. Every file is divided in pages, first page is 0, second page is 1, and so on.
You can search in the online books for more information... You can ask me for something more specific, this was a general vision of a large and complicated topic.
No, no, the server is a win 2003 server with NTFS... i have the 4gb max file size limit in my computer because the admin (if I could catch him...!!!!) installed XP with FAT32, i dont know why... i never had problems with it (i nerver had a 4gb file in my local system, even i didnt know that limitation), so i didnt worry about that, but 2 months ago my local installation of SQL server growed, and reached the max file size, and the problems begun...
Except for that limitation, i dont find a reason for having more than one file for data storing...