Overview
The other day a user reported that her Excel files opened very slow. The files were mapped to a drive letter, but the UNC path for that mapped drive was on a DFS Namespace.
After a little googling I came across a blog post that discussed the same issue.
Recap: The cause of the problem is a simple permissions issue. If the user does not have the 'Read Permissions' right on every level of the DFS path then a series of access denied events take place, but eventually access to the file is granted because the user has explicit rights to the non-DFS share.
Its a simple solution really, all you need to do is make sure users have 'Read Permissions' on every step of the DFS path.
References
My thanks to Andy Wolf for troubleshooting this issue and posting the solutions. http://andywolf.com/dfs-namespace-slow-to-open-office-documents/