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Any idea about loading the data from database to shared memory, the idea is to fasten the data retrival from frequently used tables?

A: 

the server will automatically cache frequently used tables. So I would no optimize from the server side. Now, if the client is querying remotely you might consider coying the data to a local database (like the free SQL Express).

Nestor
A: 

You are talking about cache. it is easily implemented. but there are some tricks you need to remember:

You will need to log changes in the underlying table - and reload the cache when they happens. (poll a change table).

Some operation might be faster inside the database then in your own memory structure.

(If you intereseted in a fast data access with no work at all there are some in-memory Databases that can do the trick for you).

Dani