Greetings,
what you experienced is a pretty common thing - programs written in one of the Microsoft Visual Studio Languages (Managed Code) have usually one thing in common - they get compiled into Common Intermediate Language (CIL) which means they do not get compiled completely.
However when you start the application the CIL Code gets translated into native commands.
This results in a longer start up times. The benefits of the languages using .net is that you / the programmer has a large set of functions and tools at hand resulting in faster developing times.
If you want to avoid the delay i recommand you learing native C++ using MFC. However writing C++ MFC applications can be pain.
Regarding speed and performance C++ is the fastest programming language you can get, but it takes longer to write programms in it.
One word about java, if you hate bad performance then using java is like drinking salt water when beeing thirsty.
Java is said to be platform independent which is nonsence, since it depends on useing the java runtime on each OS, and the java runtime interprets the java files. And interpreting is slow.
Java applications might sometimes start faster than VB applications (if small enough) but they ll fall back in means of performance during the runtime.
Well, i hope is was able to help you a little further.