This game will tax your CPU as much or more than your GPU depending on what is going on. There are scripts running that can affect multiple cells, all the NPCs have scripts, there are cell activators that have scripts etc etc. Couple that with a game save that starts around 1 MB and grows to 5 MB, this game just chews more data per cycle than most of the ones out there.
That is why it is always best to play under a clean boot as you want as few things as possible using the CPU. Performance and stability increases are to be enjoyed.
This applies to Vista/7 also
http://support.microsoft.com/kb/310353