I know this message all too well and it annoys me to pieces.

Instances run on a different server cluster and each instance takes up a slot.
Too many open instances do cause lag, therefore Blizz has limited the number of available slots.

They're actually in the process of upgrading their hardware to allow more slots but I guess this won't happen very soon.

This problem has been going on for quite a while but especially on my server (EU) it is causing me major distress (15-20min wait time to finally getting the instance loaded).

These days quite a few people are doing low-lvl instance runs which all take up a slot. Neverthless this problem has been an issue since Wotlk release at least on the server I play on but these days it is really bad.

It wouldn't be so bad if there was some sort of queue but the only way getting the instance loaded is by portal-hoping.