It's not your firewall, because a firewall issue would (more than likely) cause it not to slow down, but would block it completely.
When you say it loads slowly, what do you mean exactly ? Radio stations take a long time to start playing ? I have the same issue but only with a few stations. If I click GrooveSalad 128k in iTunes it starts playing even faster than MP3s on my local drive! Others take a while...that's the internet for you
You could get it to load faster by changing the "Streaming Buffer Size" in iTunes, but if you have a slow connection I wouldn't recommend it as it will likely result in pausing and rebuffering.
Speaking of which, if streaming is so slow, what is your internet connection ? Is it shared between lots of people who could be hogging the bandwidth (like a house or a university dorm) ?
On my iBook
366 MHz things load pretty darn fast, namely, as fast as my internet connection. Sometimes they even load and play as fast than on my father's 2.2 GHz 1GB RAM Dell. Always, of course, referring to streaming media only.