Sorry this must have been missed.
Are you using Windows Defender? There is a bug in the Windows 8 version that which delays the reading of shortcut targets the very first time they are read while it goes off and scans the target file. If the target file is a large file this can take a short while. While we have a workaround for this in general use, the popup menus use the standard MS code for that kind of menu and their parsing code hits the very same issue.
It isn't helped by machines not being really ready for use after bootup as half the stuff that used to be done before login is simply carried out after login in an attempt to make it look like it booted quicker.
As a workaround you could make shortcuts to shortcut files which I suspect will stop Defender being so silly about scanning things.
The Windows 7 version of the code (Microsoft Security Essentials) does not have this bug.