Slow respons when closing submenus

I have a similar problem, although mine has always happened. If I open a menu (as you can see I have different categories) and then click somewhere else on the screen it closes. Good right? Indeed it is. Unfortunately when I go into a folder with subfolders that extend, for instance Documents>My Music>whatever when I click anywhere else on the screen it closes and leaves an image of the menu behind until windows refreshes. I don't understand why this is happening since I have 512mb of ram (decent). It only seems to freeze temporarily when going through 2 or more menus without concluding with a selection. If I go through like 3 submenus and then click an icon in that menu it works fine though. It's only when closing.