I would try Process Monitor from Sysinternals which should allow you to see what sort of file accesses are being performed when you open a file.
As I understand it, Explorer attempts to find icons for each file which sometimes attempts to locate the associated application, (so it shows the excel icon beside a excel file etc). However if there is a application located on a network folder (or on a memory stick) then this can slow it down. And of course if the drive path is not there, eg a memory stick that isn't plugged in or network path it can't find, or if permission to the file is denied, this will slow things down.
Process Monitor will also show you lots of other stuff that goes on when you open a windows, for example, sometimes when explorer attempts to access an application to determine the file icon, this triggers an anti-virus scan.
Note the icons were supposed to be cached, to avoid repeated look ups, but that may not be happening. There is a registry key which controls the size of the cache
Hkey_Local_Machine\Software\Microsoft\Windows\CurrentVersion\Explorer\Max Cached Icons
(Mine is set to 2000, but maybe you can try increasing it).
The cache can also get corrupt, but I never heard of this causing a slowdown, rather it sometimes causes the icons not to be drawn correctly.