It depends on the game, and the API. Ive seen many games redraw very slow when exiting especially when exiting. It also depends on the programs you are running too, and what they have to render. You have to remeber that IE on average uses up about 20-30 megs of RAM, Explorer uses on average another 20-30, gamespy arcade around 10, ICQ/AIM/etc, use about another 5-10, mIRC around the same. So already without even including what the kernal and system processes are taking up we are already using up around 100 megs of RAM. So now you load up a game on top of those, that game will use between 60-100 megs of RAM, so while your running the game your pushing the upper limits of your RAM, and causing many processes to be paged to disk. Now once we exit the game all this free space is available, so the OS takes everything that was paged on disk and moves it back into RAM.
 
So in the end it looks like it is the amount of programs your running at the same time, the amount of RAM you have and the UDMA/66 limit on your hard disk.
 
 
So your most logical upgrade would be a 512 stick of PC2100 DDR ram, or buy a new KR7A-133RAID and some ATA/133 Hard drives

The easiest way to tell if RAM is the problem is to go to the performance tab of task manager, and check the "Commit Charge (K) - Peak" value. This is the maximum amount of RAM (in KB) that you have used at one time since your computer was last restarted. Your 256 MB of RAM translates to 262144 KB, so if your peak is near or above this number, you need to get some more RAM.