Setting the affinity to 1 core does indeed sort out the loading times.
Instead of doing this every time you start the game, do this:
Download this:
Affinity Mask Tool
Put it in %windir%\System32 (usually C:\Windows\System32).
Some systems may also want you to put it in %windir%\System32\dllcache - do this if you have this folder, I didn't on Vista Ultimate x64.
Hit start > run > cmd and type:
imagecfg -a 0x1 c:\path\to\file.exe
For example it could be:
imagecfg -a 0x1 C:\Program Files\Freight Tycoon\tycoon.exe
Now try starting the game, if this didn't work, open cmd again and type:
imagecfg -u c:\path\to\file.exe
imagecfg -a 0x1 c:\path\to\file.exe
(notice the first line being -u and not -a)
This way it will always use the first core of your CPU.
If you want it to use another one, it's 0x1 for number 1, 0x2 for number 2, 0x3 for number 1 and 2...
I didn't test them all, I was too lazy
Letting it use Core 2 should give it a core that isn't used by much else.
Have fun!