Right click on the game in Steam.
Select Properties from the menu.
Select Browse local files, this should open a file manager window at the game's installation location.
Open the MOVIES folder.
Create a new folder, the name doesn't matter (I generally use Backup or something similar).
Move the following files into the new folder:
INTRO.WMV
MILESTON.WMV

Navigate to the installation folder (if your not still there).
And into the MOVIES folder.
Create a new folder (or use the one created previouly).
You should see videos with filenames similar to the track locations around the world. An easy way to pick them is that there should be a secondary file with the similar name ending with "_SMALL.WMV".
Move the files without the "_SMALL.WMV" in the name into your created folder.

This removes the intro videos for each track making them load quicker.

The game should now load faster, I haven't had any errors using this yet. You could rename or delete the files to have the same result, I usually just move them as I can then copy them back if I need to use Steam's verify files (so it doesn't re-download them).