I've have tried to comprehend that myself. At first I thought it was just my set of disks that were faulty and slow, but when I used my fiance's disks to reload it this last time, it was as bogged down as ever.
Blizz says, "40X CD-ROM? I dont think we let you run at that. I think we'll have you install at 2X, if your nice. Just wait until you try to PATCH, then you'll start to understand our way of thinking..."