It's an Internet Explorer issue. If you check with any other browser you'll notice it's OK, but IE insists on loading all the images over and over instead of returning them from cache.

The only solution that I know of is to include all the images linked from the Aqua theme somewhere in your HTML code, like this:

<div style="display:none">
  <img src="/calendar/skins/aqua/dark-bg.gif" />
  <img src="/calendar/skins/aqua/menuarrow.gif" />
  ... etc.
</div>

Hope this helps.