Excel 2003 performance problems

We are experiencing performance problems on Excel 2003 when accessing information from Analysis Services using an MDX Excel add-in. We did not experience the same problem in Excel 2002.

The scenario is as follows:

Open report in Excel, report attempts to refresh
[Network sniffer verifies the request going from client to server, and the return of the data...following the acknowledged return of the dataset...]
PAUSE (for several minutes)
Report finally refreshes.

On second refresh this is instant.

It seems that Excel 2003 is operating a cache that it didn't use in Excel 2002 and that the pause is the loading of the cache - or I could be on completely the wrong track.

Anyone got any ideas ?