If the delay only happens the first time you load a form with the grid, then it's most likely the JITting of the assembly that is causing it. The only way around something like that would be to pre-JIT the assembly. I'm afraid I know very little about that, but I think there's a utility called NGEN that does it included with Visual Studio. 

Just the default grid

hmm.  not sure on that one, sorry.  are you using any complex layout or styling of the grid?  are you using app styling?  do you still have this performance hit if it is simply the default grid with no changes? 

I just put an empty grid.

I dont do anything else. There is no data.

If I have a few forms, in the same application, then the first form takes a long time to load.

Then the other forms load quickly.

I think the problem is of loading the dll's.

Well, it all depends on a few things.

1. How many rows and columns are you loading into the grid?

2. Are you doing any row by row initialization?

3. Do you have any filters, groupings, summaries or calculated columns on load?

If you are not doing any of things mentioned in 3, then I would suggest taking a look at using the UltraDataSource in "virtual mode" which causes the grid to only load the visible data.  So if you have 500,000 rows of data but only 100 are visible at a time, the grid will only load the necessary data.  But if you have groupings, summaries or filters the grid needs to process the entire set of data so it will load the entire set of data.