Did you ever get a solution to your problem? I am experiencing the same.
I am running Office 2002 with Outlook 2002 on a Windows 2000 system. When I try to open Office files (word, excel) directly from an attachment, it takes a very long time (up to 30 seconds) to open. My boss who has an old beater of computer opens much faster. We are working on an Exchange system, so I guess it is opening the files over the network, and that may be the problem, but that does not expalin why my boss opens the same file much faster.
Any ideas where should I look for problems?

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