It is too premature to say anything..... But try this
1) You make sure that you donot see "the blue screen of death" aka fatal errors running system normally. mostly shows faulty RAM (Data being corrupted in the memory).
2) If you are using Genuine windows try updating your PC if not do not enable automatic updates and do not intall WGA.
3) try testing your hard disk data transfer capacity by some hdd test tool. if it is low then your hdd might be slowing down....
4) Tune Xp by disabling some services lot of help for tuning xp is available as well as a free tool tunexp is quite good...
5) It might be possible that some processes keeps on running even after you exit the game.........
Post in more info about yr pc config and stats and particularly the processes runing in bakground..........
i am sure guys here will able to figure out the problem,.............
Peace
Raj