Are you loading the report control ocx from across the network? Is the rpt file on a network server somewhere? Whenever possible you want that stuff local to your machine since VB6 still has a few problems dragging things across the network (it doesn't have the disconnected architecture of .NET you know).
That might be part of the reason for your hang. It can also be a problem if the data you have to load is a lot of records and you are dragging them from across the network. Once it is in memory on your computer, I would assume that is why it is faster from then on.
I would investigate further. I haven't used 8 or 8.5 with vb6 for awhile now but I always experienced slow loading when dealing with pulling data across the network with it.
Good luck!