The simple (sort of) answer is that it's a bug, or at least a less-than-perfect design. The slightly longer answer is that from Windows point of view the CD is just another mounted volume. Mounted volumes can change at any time, so when you open Explorer, or take some other action that requires Windows to have a good and current picture of the state of that device, it asks the device. All the other devices repond right away, but the optical drive is sitting there without its disk spun up, and it says: heck, I have no idea, let me spin this disk up and see. A few seconds later it reports back with things that Windows needs to know, like volume size, file system, the current directory, etc., and Windows can finish repainting the Explorer window, or whatever it was doing.
I call it a bug, because the stack just doesn't take account of the nature of the optical drive, and provide some asynchronous way for Explorer to get on about its business. Actually that's not true... the stack does, but Explorer doesn't use it. Anyway, it's not likely to change for XP at this point, since it's just a minor inconvenience.