How much of your total physical memory (RAM) are you using up when you play the game? How fast is your hard drive? What operating system are you using? Are any components overheating during gameplay?
RO2 uses about 2GB of memory on high settings and resolution last time I checked, and 4GB of RAM is not a whole lot to have when you've got a ton of memory-intensive processes running simultaneously. Having several tabs open in a web browser could use 1GB of RAM just by itself.
It could be that you already have a lot of programs or background tasks running in the background when you start your game and you run out of RAM while playing, causing the computer to dump the background processes into virtual memory a.k.a the hard drive's page file so that the RO2 process has enough memory. Then, after you've quit the game, the computer will purge the RO2 process from memory and start swapping the previous processes from the page file back into physical memory, a very drive-intensive process that could take a while and definitely slow down your computer depending on how long it takes and how fast your hard drive is. This is known as thrashing and can even make your desktop lock up if Windows has to swap important operating system information back and forth. One way to find out if this is the problem is to close down ALL background programs and processes before starting the game and seeing if your computer still slows down after exiting. If it doesn't slow down anymore, then you know what the problem is.
If it's an issue of running out of memory, then the problem will be even worse on Windows XP because its memory management is less efficient compared to Vista and 7.
I had this problem several years ago where my computer would actually freeze for a few minutes after exiting Battlefield 2 due to what I've just explained. Battlefield 2 was, at the time, just about the only game that used 1.5 GB of RAM at highest settings and I only had 1GB of physical RAM installed. After closing down the game, my computer would completely lock up as it frantically swapped back and forth between RAM and the hard drive. After upgrading to 2GB, the problem was cured and Windows was responsive immediately upon exiting BF2.