The Windows XP Prefetcher
Windows XP has an integrated services called the Prefetcher. This service monitors all programs started when windows boots up. Then in future starts it fetches them quickly. By default, the Prefetcher is enabled. However, you can improve its performance.
Run regedit by clicking "Start" -> "Run..." and typing "regedit".
In the registry navigate to "HKEY_LOCAL_MACHINE \ SYSTEM \ CurrentControlSet \ Control \ Session Manager \ Memory Management \ PrefetchParameters" and in the right windows locate "EnablePrefetcher", double-click on it. In most cases it will be set to 3. Change the value to 5, because that is the recommended setting.
However, feel free to experiment with the value to find out what works best for you. It is even possible to disable the Prefetcher by setting the value to 0, but there's no reason to do this besides testing purposes.