I would check the connection settings (things like ANSI_NULLs etc) to see what the differences are, as different settings here can produce different query plans with, as you are seeing, different performance levels.

Easiest way to check is with the profiler, and get it to do the lifting. Martin Bell did a blog post about this a few years ago. http://sqlblogcasts.com/blogs/martinbell/archive/2009/06/15/Other-ways-to-see-User-Options.aspx

edit. Oh, rats. Just what Hugo said. My brain's not awake yet.