A: 

Beware of caching and parameter sniffing. I had some weird performance problems with some stored procedures and was able to narrow it down to some bad optimizations. http://blogs.msdn.com/b/khen1234/archive/2005/06/02/424228.aspx

bugtussle
If I test my query with SQL 2005 Server, I won't have no longer see this problem ?
Florian
I test the query with SQL Server 2008 but I have the same result.
Florian
@bugtussle -- it didn't directly answer the question, but I hate to see the bounty go to waste, and since I can't split the bounty, here you go.
LittleBobbyTables
I have seen this problem before. It was slow in vb but fast via EM. It was parameter sniffing, not sure if the environment gave clues about how to process the request. Also, it is my understanding the com interop may be slow compared to a native solution since the data has to be marshalled.
bugtussle
A: 

Identical execution plans but different timings. Are the connection settings for both connections identical? Any difference in server load?

KristoferA - Huagati.com
Regarding, the server load, there is no difference. It's the same server and queries are tested more times and each time I have the same result.
Florian
Regarding the Connection settings, Normally there is no difference too. But, I read that an .NET application accessing data with ADO (or RDO ?) is slower than ADO.NET...
Florian