This week's book giveaway is in the OCPJP forum. We're giving away four copies of OCA/OCP Java SE 7 Programmer I & II Study Guide and have Kathy Sierra & Bert Bates on-line! See this thread for details.
As a quick fix, you could split the query into sets of IN statements such as "WHERE X IN (1...1000) OR X IN (1000...). If the items in the list are part of a query you could use TOP/LIMIT to select those items.
As a better fix, don't use nested statements when you can avoid them, joins are FAR superior.