Probably a good idea to close background processes before starting SH4. If you have a lot of stuff running it might be eating up your system memory. (What are your virtual memory settings? Do you have enough there?)
I'll also ask the obligatory standard question about having the latest drivers, blah, blah, blah.
Any mods running? I managed to break my install of SH4 with too much fiddling with mods and had to re-install the whole works.
EDIT: Don't forget sound card drivers. They get neglected a lot, especially if you have on board sound.