I've been hitting this for months now. I got so wound up today I downloaded the following to find out what was going on.
ShellExView from http://www.nirsoft.net/utils/index.html
and
filemon from http://www.microsoft.com/technet/sysint ... lemon.mspx
I'd say run up ShellExView and look for any shell extensions that have UNC pathnames attributed to them (beginning with '\\') - they will be candidates for creating hang-ups if the network resource isn't available.
Next, invoke the file-open or file-save-as dialog from Paint.net but with filemon running to get the familiar hang-up to happen. Note, you'll want to filter captured disk events on the 'PaintDotNet.exe' process, otherwise you'll be swamped in disk activity from other processes. Look for any network links being followed. In the end I found that having the dialogs in 'icon' mode meant that the control was following links into sub-directories off the desktop as it generates preview picons on the folder icon. Eventually I found a load of network shortcuts that were responsible.
Hope that helps.
James