It seems like a lot of people forget about this. Maybe because they don't know how to set up a cron. But if you use the watchdog, and you want to periodically discard your old log entries (admin/settings/error-reporting), you should also set up your cron.
If you don't know how to do this, read the Drupal cron documentation.
If you're using Drupal 6, you might consider using Acquia's Drupal distribution which enables cron by default from their servers.
And if you don't have access to set the cron on your server, Poormanscron is a great alternative.
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