Using the Execution Plan in SSMS can answer many questions about why the query you just made runs so slowly. A well constructed T-SQL script should execute reasonably quickly if the database is indexed properly. Since most users have no ability to create nor administer indexes on the databases, the best way to improve performance is to improve the T-SQL script.
Here is a link that tests your ability to use the Execution Plan in SSMS.
It also includes a link to the book that I recommended last year.