I found one other reference to the problem I am experiencing:
I am experiencing this, too, but it's not just rxvt.exe. It is every MSYS binary.
It seems (on my system) to be somehow related to starting up the MSYS subsystem.
Observe (from a command prompt):
1. cd \msys\1.0\bin
# this takes 7 seconds to start up
# if executed _immediately_ after step 2, it starts immediately
4. wait a few seconds
# now it takes the 7 seconds to start up again
I can repeat that process for .\tar.exe, .\sh.exe, .\rxvt.exe, ... the list goes on.
However, from within .\sh.exe I can execute the same binaries with lightning speed.
The delay don't seem to be time-based, as I can open two command prompts and in each one execute .\sh.exe almost simultaneously, and each one will take their respective 7 seconds to start.
Any advice will be appreciated.