I'm of course no expert, but if it's not the Registry (though I'm not ruling it out just yet), and it's not the JJ2 files, I guess it has something to do with the other files JJ2 uses like the DLL files.

You could try downloading Dependency Walker and following the steps up to 12 on this site (replacing mozilla.exe with Jazz2.exe). If you can' t find specifically where the problem is (look for red after you start profiling), then you should PM the entire log as opposed to just posting the problem files here. I hope this helps.