I'm not sure in your situation what the exact problem may be since it sounds like it lags if it's the first thing that is opened. You could try a system defrag and maybe run a registry cleaner. Other than that, you can try this tweak just to see if it helps.
Go to START>RUN.
Type in "regedit" w/o quotes.
Navigate to HKEY_CURRENT_USER>CONTROL PANEL>DESKTOP
There, on the right you should look for a key called MENUSHOWDELAY. Double click on it. It's default is 400. You can change it to something like 50. What this does is speeds up the start menu load time, so it's worth a try.