Assuming Windows XP with Service Pack 2 (you don't say). You may be short of memory and/or have a framented disk.
Left click Start, Right click My Computer, left click Properties. At the bottom right it will say '(A number) RAM'. Anything less than 512Mbytes, add more memory.
Next left click Start, left click All Programs, choose Accessories - System Tools, left Click Disk Defragmenter and leave it running.
t, January 2007