The phrase "Internet Zone" has a specific meaning only if you understand how Web browser security works.
A Web browser divides the universe up into "zones." Each "zone" has a different security model attached to it.
The most common "zones" are "Internet zone" and "local machine zone." When the browser says "local machine zone," that means "The HTML file I am rendering is not coming from the Internet, it is on this computer." That means that the Web brwoser should allow Java applets (for example) to do whatever they want to do--read files, delete files, whatever--because the owner of the computter (presumably) knows what he is doing.
"Internet zone" means "The HTML I am rendering is coming from the Internet. Therefore, do not allow it to access files, send files, delete files, or take any other action that might be damaging."
When the Web browser says "Internet zone," all that means is "I am about to start asking for a file from the Internet." It could be looking for the Web site's IP address, in which case any slowness is due to a problem with your ISP's name server. It could be sending an HTTP GET command to the Web server, in which case any slowness is because the Web site is busy, malfunctioning, or unreachable.