Windows File Sharing - Long Initial Delay
Windows has a idle timeout for network drive connections; by default it's 15 minutes. So after 15 minutes of not using the share it will disconnect and the next time you go to use it you will have to wait for the connection to be made again (as well as any authentication processes that go along with it).
This really shouldn't take "minutes" to happen (maybe a couple seconds), but still this may be what you're running into.
You can see how long your idle timeout is set to by opening a command prompt and typing:
net config server
You can set the timeout limit (in minutes) as such:
net config server /autodisconnect:<#ofminutes>
You can turn off the idle timeout completely by entering:
net config server /autodisconnect:-1
See this MS KB article for more info.
The solution was to keep the hard disk from spinning down. (Actually, I switched to Ubuntu before discovering this, so I don't know how or whether you can prevent auto spin down in Windows. Shortly I'll post another question/answer regarding avoiding the long delay in Ubuntu.)