My organization is in the process of migrating to SharePoint 2010, and some of our larger lists (15,000+ records) are now being throttled.
I've read up on this and understand that I need to limit my views/queries to only return < 5,000 records, and to make it so my queries don't have to actually process > 5,000 records, I should be creating indices.
However, when I try to create an index on the large list, I receive the following message:

I'm aware that the ability to create indices on large lists is restricted because it has to access all of the items in the list. What's the best way to get around this restriction?
My farm administrator has informed me that "There is no farm level restriction that would prevent site collection administrators from creating indices on a list," so what do I do?