Check to see if you have system services loading at startup. Sysinternals has a great utility called autoruns, which will tell you what is loading when you boot your computer. The most common cause of your problem is that you have deleted a program like an antivirus or firewall, but not uninstalled the service which starts when your computer boots. Two programs notorious for this is Norton Internet Security and Computer Associates Firewall software. They often leave behind a lot of crap when you uninstall them.
Also, a firewall other than Windows XP firewall will cause your computer to act in the manner you describe because it checks all system files to verify nothing is corrupt or infected before allowing you to have control of your desktop. Computer Associates software does this religiously and can slow a fast machine down to the point you want to pull your hair out.
To download autoruns, go to http://www.sysinternals.com
and click the link for "Process Utilities".