Every now & then I would get the first time launch message appearing when I was starting up VS 2005, which wasted lots of time & I finally got around to googling a solution.
It turned out that it was a problem with using roaming profiles ( I switch between virtual machines quite often for various development requirements which I thinks what causes it) & I found the solutions in this MSDN article
But I'll post it here as well for future reference
When any one of the Visual Studio family of products is used with Windows Roaming Profiles, the first time launch message that says "Visual Studio 2005 is configuring the environment for first time use. This might take a few minutes." might appear on every session startup. This might cause unnecessary slowdowns in startup performance.
To resolve this issue
Click on the Tools > Options... Select "Import and Export Settings", and change the path under "Automatically save my settings to this file:" to a path that is NOT under the "My Documents" directory.