Opening a connection to a local SQL Server Compact 4.0 database file (C#, EF 5.0) takes approx. 15 seconds if either the machine wide proxy settings (netsh winhttp set proxy...) are wrong or the local user's HTTP proxy settings (in Internet Explorer - Options - Connections) are either wrong or set to "Automatically detect proxy settings".
Why? What is SQL Server Compact doing on the network? It should just open a local database file.
Additional info: The platform is Windows Server 2008 R2. The application is a 32-bit program.
