It's not the first time I see someone saying this. The fact is, Firefox seems slower than IE just because, when you launch it, IE is already running, being the software that handles the browsing through your computer resources and the whole graphic interface of the OS (if you press CTRL-ALT-CANC, in the "processes" list, you will notice that Explorer is always running even if you're not browsing the internet), and all it needs to do is to open another window for internet browsing. When you launch Firefox it has to be started from zero, as it's not integrated in the OS. On the other hand, since most internet users adopt IE instead of Firefox, most of the malware you get online is designed to reach your PC via IE rather than via Firefox (but I'm not that much of a hacker, so certainly someone else will be more specific on the topic).
As you can guess, I use Firefox...