Once the media library becomes quite big, it'll take longer to start the 1st time, ideally just launch wmp 1st, then later open the files, wich will cause them to play immediatly in the already open wmp.
Edit: hmm might be nero too, I also recently installed nero 7, didnt really give the lag much thought, thought it was media library casing it cos i recently added 2 folders to it with 20 gb's of music...