There could be a few reasons for this...
1. PHP runs best in a FastCGI environment or as a server module. FastCGI keeps PHP open between requests and caches memory, while normal CGI needs to run a new PHP process for each request. Are you running PHP as CGI? If you can, use the SAPI modeule for IIS, use FastCGI, or switch to Apache with the mod_php module.
2. We discovered two inefficient algorithms in the 1.1.4 version that could be causing problems - one has to do with EXIF handling, the other with page loading in large galleries. The next version 1.1.5 (due out on Friday February 29th, or try the latest nightly build) may help your problem.
I believe it is most likely a server problem involving PHP's CGI configuration. A correctly configured Windows/IIS server should be able to run Zenphoto just fine, though we do recommend using Apache if given the choice.