Last summer I posted some directions on now to speed up the load time for MSH. As I reported, B2 setup does not generate native code for the MSH assemblies, resulting is a performace hit when MSH starts up. Directions for doing fixing this given in my earlier post need changed slightly if you are using the .NET Framework CLR V2.0. The (now) correct command to run is:
C:\Windows\Microsoft.NET\Framework\v2.0.50727\NGEN install "c:\Program Files\Microsoft Command Shell\msh.exe"
Run this comannd after you have MSH all installed and running - and start up is a LOT snappier. The lack of the setup not doing an ngen is known and is meant to be fixed for RTM.