Slow initial response for .NET 2.0 HttpWebRequest.GetResponse();

using System.Runtime.InteropServices;
 
// THIS GOES IN THE GLOBAL DECLARATION SECTION
        // Use Win32 API to perform INET calls
        // These declarations allow use of the imported DLL methods
        // (Declarations translated from C++ code on MSDN website)
[DllImport("wininet.dll", SetLastError = true)]
static extern IntPtr InternetOpenW(
   string lpszAgent, int dwAccessType, string lpszProxyName,
   string lpszProxyBypass, int dwFlags);
[DllImport("wininet.dll", SetLastError = true)]
static extern IntPtr InternetConnectW(
   IntPtr hInternet, string lpszServerName, short nServerPort,
   string lpszUsername, string lpszPassword, int dwService,
   int dwFlags, int dwContext);
[DllImport("wininet.dll", SetLastError = true)]
static extern IntPtr HttpOpenRequestW(
   IntPtr hHttpSession, string lpszVerb, string lpszObjectName,
   string lpszVersion, string lpszReferer, string[] lplpszAcceptTypes,
   int dwFlags, IntPtr dwContext);
[DllImport("wininet.dll", SetLastError = true)]
static extern bool HttpSendRequestW(IntPtr hRequest, string lpszHeaders,
   int dwHeadersLength, string lpOptional, int dwOptionalLength);
[DllImport("wininet.dll", SetLastError = true)]
static extern bool InternetReadFile(
   IntPtr hFile, byte[] lpBuffer, int dwNumberOfBytesToRead,
   ref int lpdwNumberOfBytesRead);
[DllImport("wininet.dll", SetLastError = true)]
[return: MarshalAs(UnmanagedType.Bool)]
static extern bool InternetCloseHandle(IntPtr hInternet);
 
 
// THIS GOES IN YOUR CODE
string servername = "<server>";
string relativePath = "<virtual directory>/<path>";
        // Perform HTTP lookup using Win32 API
string[] st = new string[] { };
        // 1 means direct connection, no proxy
        // null,null is the username/password for the proxy
IntPtr hOpen = InternetOpenW(this.Name, 1, null, null, 0);
IntPtr hConnect = InternetConnectW(hOpen, servername, 80, null, null, 3, 0, 0);
IntPtr hRequest = HttpOpenRequestW(hConnect, "GET", relativePath, null, null, st, 
   0, IntPtr.Zero);
bool hSendRequest = HttpSendRequestW(hRequest, null, 0, null, 0);
if (hSendRequest == false)
{
        // Some kind of server error, displayed as error code
   throw new ApplicationException("Win32 Error: " + 
      Marshal.GetLastWin32Error().ToString());
}
 
int lengthOfResponse = 4096;
byte[] buffer = new byte[lengthOfResponse];
int dwRead = 0;
string response = "";
bool tmp;
for (int i = 0; i < lengthOfResponse; i++)
{
   tmp = InternetReadFile(hRequest, buffer, lengthOfResponse, ref dwRead);
   if (tmp == false)
   {
      break;
   }
   response += Encoding.ASCII.GetString(buffer, 0, dwRead);
}
 
InternetCloseHandle(hRequest);
InternetCloseHandle(hConnect);
InternetCloseHandle(hOpen);
 
// OUTPUT IS IN VARIABLE response
                                              

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