IE 8 took a long time to close (2-3 seconds). First I thought it may have been caused by IE clearing stuff on the exit. I also confirmed IE 8 did not try to access some slow sites when it is closed, by using Fiddler 2. Google did not do much help for this problem.
Out of desparation, I started to disable all the IE addons. After disabling AVG Safe Search, IE 8 closes very quickly as usual. If I enable it again, the problem comes back.
I think "AVG Safe Search" was installed by AVG Free using standard installtion. However, on a PC with newly installed Windows XP SP3, IE8, AVG 9.0.733, the problem does not happen, or it does not cause long delayed closing time for IE.
To check and disable IE add-ons:
IE 8 >> Tools >> Internet Options >> Select "Programs" tab >> Click "Manage Add-ons".


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