delay on windows when processing Pygame events

[Vojtěch Polášek]

Greetings,
I am writing a simple game for visually impaired in pygame. I use this
construction:

while running == True:
    for event in pygame.event.get():
        if event.type == blahblahblah, #processing various events
    blahblahblah, contiuing the code after events are analysed

I am looking mainly for keyboard events. I notice a quite nonnegligible
lag when running this under Windows XP, when compared to the same code
on Ubuntu 12.04.
Python and pygame version should be the same:
Python 2.7.3
pygame 1.9.1
Can anyone please help me?
Thank you,
Vojta