The main issue here is that any file is added to MC's database before it's played. (This is even if you don't import it into the library)
Firstly, try installing the latest build- Changes were made in build .117 which should have speeded this process up somewhat
Other than that, we really need more system/ file information before giving any more detailed advice.
(For example, the file size & type and your installed codecs and many other factors all affect how long it takes to get from click to play)
Cheers
-Leezer-