You can change the threshold in Central Administration, it is applied to the entire web app. Go to: Central Admin -> Manage Web Applications -> select your web app (probably "SharePoint - 80") -> click the General Settings drop-down -> Resource Throttling
In there you will see the list view threshold and several options relating to it. Note that this applies to all users, so if you bump it up it can cause performance issues if your users are doing things that involve viewing large amounts of list items. I would advise changing it back to the default when you are done, or using object model code to do your queries if you can, because it can bypass the normal limit.
Edit: It seems the limitation on large lists is more due to SQL than SharePoint itself (this is a good description of the effects, though it specifically applies to lookup fields, but the principles are the same). Basically there is a dramatic difference in the amount of CPU power required by SQL to handle large queries. There's a very thorough article here describing the effects of large queries and outlining several methods for how to deal with them, like indexing and SP Workspace.
While SP is meant for handling large repositories of documents, there are still physical limitations of the hardware itself to consider. I would assume that with a large and well-structured enough farm with bleeding-edge hardware you could theoretically handle all the data you want in a single list, but the cost will increase exponentially for obvious reasons. I would recommend re-tooling your design to spread the data across multiple libraries, then using something like a customized content query web part to pull sets of records as needed from all locations.
You're also going to start running into the size limitations for databases. There's a pretty solid 200GB limit that Microsoft strongly recommends you do not exceed. An alternative may be something like storing the data on a local file system, then using a file share navigator inside SP (like the one made by AvePoint) to browse/index/tag it. I'm not sure about the limitations of that software, but I'm sure they would be happy to explain it to you if you ask.