Yesterday my boss ran into a problem with transfer speeds when connecting to our MOSS installation. The time it took to browse through the various sites and document libraries was incredibly slow. In addition, he got prompted to enter his credentials fairly regularly. After doing some digging through the internet and comparing my laptop (running quickly) with his we came up with the solution. It has to do with your internet connection settings. You can get to it either through you control panel or through Internet Explore and clicking on Tools -> Internet Options. Once you have the Internet Options open, click on the connections tab and click LAN settings. On this Screen your settings should be the same as those shown in the image below.
This should fix any speed problems you have in connecting to a SharePoint site through Microsoft Office. You may not even be using a Proxy server, but I would still check both check boxes. I haven’t tried leaving them unchecked and monitoring the speed, but there is a possibility these boxes could be left uncheck as well.