I've had problems before where drive mappings to computers that were shutdown/no longer available caused a long timeout when trying to open files in Microsoft Office applications (http://support.microsoft.com/kb/313937).  I recently was having the same symptoms for a user, but they didn't have any strange drive mappings and we even cleared all their "Network Places" that weren’t available.  We had also unchecked the Tools -> Folder Options… ->View -> Automatically search for network folders and printers, which has also been known to cause delays.  I used RegMon to try to see what was causing the delay.  I found that whenever a file was opened or right clicked on (when the delay was occurring), the machine was processing the "Open With…" list and eventually getting to a EXE that was located on a networked machine that was no longer available.  I could see the registry keys associated with the network interfaces and TCP start to be accessed and this is when the delay was occurring.  I went and removed the registry entries that were for the remote machine and this fixed the delay.