I just tested this under Vista and discovered that in Vista, Microsoft sets the default delay for this feature to a high value. That's why Tonuss is seeing a delay. With XP the delay is set to zero (at least that has been true on every XP system I've tested) so it's faster.

The delay can be changed in Vista (and presumably set to zero) by editing the registry or with a third-party program.

There may also be a way to set the delay with Control Panel but I don't see it there.