It was so bad I ended up discovering Teracopy which was decent at estimation, and far faster at copying. Was a must-have until I migrated away from Windows.
1. Explorer attempts to do a file enumeration prior to copying, which sometimes could waste a lot of time.
2. It seems tools like Teracopy use buffering aggressively, which can speed up the copying significantly based on my experience on Windows XP with slow HDDs.
Are there any other points worth noting?
The other thing that I liked is it's non-blocking - you can continue doing copies while one is in progress, if it's to the same destination it gets added to the queue in progress. If different destination it goes in a new queue that waits for the first to finish.