Improve performance of query using IN()
Given tables of the following general form:

CREATE TABLE Device 
(
    ID integer PRIMARY KEY
);

CREATE TABLE EventType
(
    ID integer PRIMARY KEY, 
    Name nvarchar(50) NOT NULL
);

CREATE TABLE [Event]
(
    ID integer PRIMARY KEY, 
    [TimeStamp] datetime NOT NULL, 
    EventTypeID integer NOT NULL REFERENCES EventType, 
    DeviceID integer NOT NULL REFERENCES Device
);


The following index is useful:

CREATE INDEX f1 
ON [Event] ([TimeStamp], EventTypeID) 
INCLUDE (DeviceID)
WHERE EventTypeID IN (2, 5, 7, 8, 9, 14);


For the query:

SELECT
  [Event].ID,
  [Event].[TimeStamp],
  EventType.Name,
  Device.ID
FROM
  [Event]
INNER JOIN EventType ON EventType.ID = [Event].EventTypeID
INNER JOIN Device ON Device.ID = [Event].DeviceID
WHERE
  [Event].[TimeStamp] BETWEEN '2011-01-28' AND '2011-01-29'
  AND Event.EventTypeID IN (2, 5, 7, 8, 9, 14);


The filter meets the AND clause requirement, the first key of the index allows a seek on [TimeStamp] for the filtered EventTypeIDs and including the DeviceID column makes the index covering (because DeviceID is required for the join to the Device table).



The second key of the index - EventTypeID is not strictly required (it could also be an INCLUDEd column); I have included it in the key for the reasons stated here. In general, I advise people to at least INCLUDE columns from a filtered index WHERE clause.



Based on the updated query and execution plan in the question, I agree that the more general index suggested by SSMS is likely the better choice here, unless the list of filtered EventTypeIDs is static as Aaron also mentions in his answer:

CREATE TABLE Device 
(
    ID integer PRIMARY KEY,
    Name nvarchar(50) NOT NULL UNIQUE
);

CREATE TABLE EventType
(
    ID integer PRIMARY KEY, 
    Name nvarchar(20) NOT NULL UNIQUE,
    [Description] nvarchar(100) NOT NULL
);

CREATE TABLE [Event]
(
    ID integer PRIMARY KEY, 
    PLCTimeStamp datetime NOT NULL,
    EventTypeID integer NOT NULL REFERENCES EventType, 
    DeviceID integer NOT NULL REFERENCES Device,
    IATA varchar(50) NOT NULL,
    Data1 integer NULL,
    Data2 integer NULL,
);


Suggested index (declare it unique if that is appropriate):

CREATE UNIQUE INDEX uq1
ON [Event]
    (EventTypeID, PLCTimeStamp)
INCLUDE 
    (DeviceID, IATA, Data1, Data2, ID);


Cardinality information from the execution plan (undocumented syntax, do not use in production systems):

UPDATE STATISTICS dbo.Event WITH ROWCOUNT = 4042700, PAGECOUNT = 400000;
UPDATE STATISTICS dbo.EventType WITH ROWCOUNT = 22, PAGECOUNT = 1;
UPDATE STATISTICS dbo.Device WITH ROWCOUNT = 2806, PAGECOUNT = 28;


Updated query (repeating the IN list for the EventType table helps the optimizer in this specific case):

SELECT
  Event.ID,
  Event.IATA,
  Device.Name,
  EventType.Description,
  Event.Data1,
  Event.Data2,
  Event.PLCTimeStamp,
  Event.EventTypeID
FROM
  Event
INNER JOIN EventType ON EventType.ID = Event.EventTypeID
INNER JOIN Device ON Device.ID = Event.DeviceID
WHERE
  Event.EventTypeID IN (3, 30, 40, 41, 42, 46, 49, 50)
  AND EventType.ID IN (3, 30, 40, 41, 42, 46, 49, 50)
  AND Event.PLCTimeStamp BETWEEN '2011-01-28' AND '2011-01-29'
  AND Event.IATA LIKE '%0005836217%'
ORDER BY Event.ID;


Estimated execution plan:



The plan you get will likely be different because I am using guessed statistics. The general point is to give the optimizer as much information as you can, and provide an efficient access method (index) on the 4-million row [Event] table.