Looks like it may be your PC I'm afraid. Running Win7 x64 (Ultimate) 3Gb. All my songs have Album Art and are reasonably well tagged (I use Helium music manager - probably the best) on top if which a big percentage of "my" music is lyriced as well.
Currently running with 1457 Albums and 18861 tracks - Thats my music (> 35 years of collecting and all albums now digitised) + my wife's and two son's collections as well.
Zune 4.0 starts up instantly and is usable straight away. How many folders is it trying to monitor - I use a single Music folder root with albums under artists. One thing may be to look at the search and indexing within Windows 7 as I believe it uses that to build the library.