If you are running on dial-up, the high lag is to be expected. I am assuming you are running on a high-speed connection. If so, continue reading.
Try the following...
CLOSE ALL RUNNING PROGRAMS.
On your task bar,
Open Start>Programs>Accesories>System Tools>Disk Clean
Select all the boxes and tell it to clean.
This will free up much of your computer's memory.
Open Start>Programs>Accesories>System Tools>Disk Defrag
Select each hard drive or hard drive partition individually.
Defragment all hard drives/partitions individually.
This will make your hard drive run more efficiently.
Run Disk Clean again.
Reboot your computer normally.
Start Conquer Online.
This process might take a long time, in some cases more than one day, the time will vary on how well the computer is maintained. NOTE: Do not become worried if the defragmentation takes a long time. This is normal. I would suggest you do not operate the computer while it defrags.
...If this doesn't work, or you have any questions, please let me know by posting in this thread.