Increasing the maximum number of open files

[J.L. Coenders]

Hi guys,
I have a program which tells me it needs more open files than the system can 
handle.
When I do nlimit -n, it tells me I have 1024 files max. How do you increase 
this number, permanently? I found some stuff about 
changing /etc/security/limits.conf and /etc/pam.d/gdm and some others, but 
that doesn't really work. It's probably some simple trick and I remember 
something alike before, but I cannot remember how it was done.
I use FC2 with KDE. 

Thanks,
- Jeroen