Well it could be lots of things, but first give us some more information (like in the "Read this before you post" topic at the top of the page)

Try changing the color depth to 8-bit;
try disabling textured backgrounds;
try enabling low detail;
try lowering the resolution;
try closing all your background applications, through Ctrl+Alt+Delete;
I had this problem once, and it was because of a spyware program (can't remember which one);
try playing in full screen;
try everything else that you think could be the problem.

What OS do you have?
What version of JJ2?
What is your processor speed?
How much RAM do you have?
How much disk space do you have?
Is this in multiplayer, single player, or both?
What internet connection do you have?
What video card do you have?
What are your video settings in the windows display control panel? (Resolution, color depth, hardware acceleration, etc)
Why is it that I always have the longest replies to the shortest technical help requests?