SQL Batch - Slow Response - Remote DB Query

Hello.
I have a slow response with a system that I am setting up. The OS is
Win 2000 Server with SQL Server 2000. My first execution of the SQL
procedure is slow (about 40 seconds), while the second execution is
faster (approx. 3 seconds and what I expect).
Using query analyser I can leave the window up and come back ( after
say 10 minutes ) and my next response is will be slow (and faster
straight after this).

The query itself is the "TOP 10" rows from a table of a remote DB (MSDE
2000 - NT station).
This is similar to;
---------------------
DECLARE @SelectRowsFromRemoteDB NVARCHAR(400)
SET @SelectRowsFromRemoteDB = "SELCT a.* FROM OPENROWSET
('SQLOLEDB', 'Remote', ....) a"

EXEC sp_executesql @SelectRowsFromRemoteDB
---------------------

The CPU usage goes high (with Task Manager), but oddly the task with
most usage is the "Idle Process".

Please help with an answer
or a good starting point to known where the resources are being used.

Regards JC.....