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Amazon SimpleDB with high latency on first request

I am using SimpleDB in a desktop application (C #, .NET 2.0) and have a high latency problem.
 The first time I make a query in the database (the query, the insertion value does not matter), I get the answer only after 10-20 seconds. This happens only for the first time, the rest of the answers are pretty quick (not measured, but up to 300 ms for sure).
This does not happen when I create a database client, only when I make the first request. Is authentication ok so slow? (I assume that the first request is authenticated).

Thanks in advance.

EDIT

When I run the first time something like

SelectResponse response = dbService_.Select(request);

in the output panel, I get:

'PhotoExchange.vshost.exe' (Managed (v2.0.50727)): Loaded'C:\Windows\assembly\GAC_MSIL\System.Data.SqlXml\2.0.0.0__b77a5c561934e089\System.Data.SqlXml.dll'
'PhotoExchange.vshost.exe' (Managed (v2.0.50727)): Loaded 'System.Xml.Xsl.CompiledQuery.1'
'PhotoExchange.vshost.exe' (Managed (v2.0.50727)): Loaded 'System.Xml.Xsl.CompiledQuery'
 A first chance exception of type 'System.IO.FileNotFoundException' occurred in mscorlib.dll
'PhotoExchange.vshost.exe' (Managed (v2.0.50727)): Loaded 'rg1d4wjc'

This is normal? FileNotFoundException looks very strange.

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Maybe something is wrong with my Windows / .NET installation. I took a sample from the SDK, compiled it (even used NGEN) and got a delay of 30 seconds on first request. I copied the same executable to a virtual machine, and the delay was 5 seconds . Still quite large, but acceptable.

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