If you have a relatively modern PC, set the “Shader Compilation” option to Asynchronous (Ubershaders).
If you have a high-end PC and aren’t anxious about Dolphin’s performance, you can disable the “Show FPS” option. This way, when a game starts, it will take up the whole screen and cover every other window. If you’re using Dolphin on your TV or a media center setup, you may want to enable the “Use Full-Screen” option.