No bother.

Assuming you're using Vista or Windows7 - If you click "Start", then "All Programs", then "Accessories". One of the items listed is "Command Prompt". If you then click the right mouse button over the "Command Prompt" item it will display a menu. using the normal left mouse button, click on "Run as Administrator".
You will be asked to click "Yes" to agree. When you do this a black window will appear on the screen. This is the command prompt.

Type regsvr32 actxprxy.dll in the black window and press the enter key.

A popup box should appear saying "DllRegisterServer in actxprxy.dll succeeded." click OK to close this box.

Now type exit and press enter. This will close the black window.

Now start IE8 and hopefully it should be quicker?

There is more info on this fix here (where I found it) :-
http://www.edbott.com/weblog/?p=2443

Any prob's post back & I'll try to help.
cheers
Billy