This is from the Help file. I think it's solved the problem for some people.
Advanced > Configuration
General Tab
Scroll to the bottom
Load/Restore printer settings
UltraEdit tries to communicate with the printer driver when it loads and shuts down (to preserve settings). If a network printer is specified as the default printer and not available this may cause a delay on startup while UltraEdit tries to find the printer on the network. If this option is not selected then UltraEdit does not communicate with the printer.
If you aren't using a network printer, this isn't your problem. The trouble is in SP2 Windows seems to be very anal about files in the \Windows directory, which where by default, UEDIT32.INI is.
I'm not sure how Ultraedit deals with this file during startup, but I think it puts Windows into its "is it OK to play with this file in \Windows? mode".
Ultraedit has a setting to store the profile into the registry rather than in UEDIT32.INI - Under the advanced features, it says add
Use Registry = 1
Put this in your INI file just after [Settings]. Restart UE and things should go MUCH faster! A down side of this is that you loose all your custom settings... but if you only have a few, its worth putting them back in to save the startup time.