Generally speaking it's much simpler to set up your database if you keep all of your tables in one file. This is especially true if you plan on setting up different passwords for different users as you will only need a single account and password in a single file to permit access to the database.
There are a few advantages to multiple file solutions--a commonly used approach is to put all the data tables in one file and use a second file for the layouts, scripts etc. This can make it possible to distribute an updated interface file without having to import any data. This approach is called the Convert to Seperation Model.