It has to do w/ the DDE server getting blocked (DDE makes extensive use of
window messaging, and if the application you are debugging is at a breakpoint
(essentially blocked), then the DDE server will hang around waiting for that
app to respond before timing out and moving to the next app -- it is quite a
bit more involved, you can search old DevNet library articles on DDE, etc. for
further details).

To 'fix' the problem, you need to edit the file types that you want to have
more responsive so they don't use DDE during file open.

In your Excel example, you need to do the following:

Control Panel/Folder Options/File Types

Scroll down to XLS (or type in XLS and it will scroll down for you), click on
Advanced, Click on open action, edit, and then clear the Use DDE checkbox.

This should solve your 'problem', however you need to be aware that it may
cause some unintended side-effects (i.e. multiple instances of Excel running
instead of multiple worksheets opening in a single instance of Excel).  Make a
note of the DDE settings if you want to restore to the previous configuration.

If it works for you, you will have to make the above change to all of the file
types that you want affected.