>Hmmm... Still can't get this right.
>
>I used a PHP script to run an alter command accross all the tables to
>ensure that they are of type My_ISAM.
>
>i.e. alter table `1` engine=MyISAM
>
>Altering INSERT METHOD=LAST to INSERT_METHOD=LAST also makes no
>difference.
>
>When I issue the statement to create the Merge Table, it executes
>without any errors. They only occur when I try and access the table.
>
>mysql> describe `shares`;
>ERROR 29 (HY000): File './securities/120.MYD' not found (Errcode: 24)

Errcode 24 on my system is "too many open files". Assuming it means
the same on yours, you're hitting an OS limit. Try to either get
MySQL not to cache so many open file descriptors (open tables), or
raise the system limit.