I am not sure I understand your overall application. I ran the example and it seems to navigate to the next page as fast as my browser does.
In your post you mention a web page copier, are you trying to view the pages or to get their source and html? When you are trying to "find" useful do you mean manually or programmatic? If it is manual I am not sure what all you can do to speed it up. I guess you could try to dynamically catch the re-directs and open them in new windows so they are in parallel, but all that does is give you a ton of browser windows open. If that is what you are looking for investigate the activeX events. As a side note, the "Navigate" function has been upgraded to "Navigate2". The msdn talks about the differences, and I can't remember them at the moment but see if that helps.
If you want to parse pages programatically there are better ways to due it then using the activeX browser. Look into DataSocket.
