Probably you are doing something time-consuming in code when you start up
your application (e.g. opening files, connection to a webservice, ...).
Otherwise you could consider using the Native Image Generator (Ngen.exe),
check out this page:
http://tinyurl.com/2or38
The Native Image Generator creates a native image from a managed assembly
and installs it into the native image cache on the local computer. The
native image cache is a reserved area of the global assembly cache. Once you
create a native image for an assembly, the runtime automatically uses that
native image each time it runs the assembly. You do not have to perform any
additional procedures to cause the runtime to use a native image. Running
Ngen.exe on an assembly allows the assembly to load and execute faster,
because it restores code and data structures from the native image cache
rather than generating them dynamically.