I've seen that on many systems - with IE6, 7 and now 8 also.
I've never found a specific reason or cure for it.
Possibly it's all to do with the home page setting. I have my home page as an html file on my system which comes up almost immediately as it doesn't involve an internet connection. Then clicking on a link (that's what I use on the home page - just my main links) never fails to work quickly.
I suspect - but don't know - that it may be a very slow response by MS sites that many users have set as their home page. Try setting Google as your home page and see if matters improve.