You didn't answer the question about how much mail is involved in the folders. How many messages in Inbox, Sent, Deleted, etc. The mail stored in "folders on my computer" isn't a factor. Space on your hard drive is not a factor.
Does everything else work normally as far as performance is concerned?
This is probably due to the fact that you have not cleaned up your email and MSN Explorer is attempting to synchronize all data each time it loads. I suggest deleting messages you no longer want - including from the Sent folder, moving messages to folders other than the Inbox that you wish to save - consider moving them to folders "on my computer" so they no longer sync, and emptying the Deleted items/trash folder. This should improve performance significantly.
If you move items to folders on the local PC, be sure to backup your MSN mail periodically as a drive failure on the PC will cause you to lose these messages.
Backing up email: http://answers.msn.com/solution.aspx?solutionid=d830f08c-414d-49ae-91cb-df58aa44832f
-steve