I did not know that you can do this in MySQL, but @nick rulez is better to answer, I think, however this is how you can do it through PHP.
$host = 'localhost';
$username = 'myusername';
$password = 'mypassword';
$connect = mysql_connect($host, $username, $password);
for($i=0; $i<=1000; $i++) {
$query = 'INSERT INTO tablename(column1, column2, column3) VALUES (value1, value2, value3)';
mysql_query($query);
}
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