It's because you downloaded it from the internet. It now has to download an awful lot of files before you can play, then even more every time you enter a new town or area.
What we need here is the good old -image switch.
Make a new desktop shortcut for Guild Wars and edit its properties. Go to the shortcut tab and, in the "target" box, you should see something along the lines of "C:\Program Files\Guild Wars\gw.exe" - you need to change this so that it reads
Code:
"C:\Program Files\Guild Wars\gw.exe" -image
Check the path to your actual Guild Wars installation - it
may be different to the above.
The quote marks and the space before the -image are important.
When you now double-click on this icon, it will download every file for every area in Guild wars. This can take along time - it's somewhere around the 3GB mark. It's a good idea to let this run overnight, then you're ready to play. Don't try to run it with the altered icon - that will only download files, not launch the game.