VB.Net Application and Sql Server 2005, Best Practice

Here you go

Top 10 steps to optimize data access in SQL Server: Part I (use indexing)[^]
Top 10 steps to optimize data access in SQL Server: Part II (Re-factor TSQL and apply best practices)[^]
Top 10 steps to optimize data access in SQL Server: Part III (Apply advanced indexing and denormalization)[^]
Top 10 steps to optimize data access in SQL Server: Part IV (Diagnose database performance problems)[^]
Top 10 steps to optimize data access in SQL Server: Part V (Optimize database files and apply partitioning)[^]

"Will the speed increase if the clients are using windows authentication ?"
Probably not.

Before you can speed up anything, you need to get some measurements, so that you can confirm if anything you do makes a difference, and hopefully also check where the bottleneck is.

It could be your DB Server, your network, your application, or in your users imaginations. First, find out where.

For example, your application could be issuing all queries in the form:

SELECT * FROM myTable

When what it actually needs is

SELECT address FROM myTable WHERE userId=7

Start with trying to time what is happening, and when. If you can do timings when everyone else has gone home, that helps.

Then google: "speed up sql database queries" will give a lot of ideas.
It suggested these two: http://www.catswhocode.com/blog/10-sql-tips-to-speed-up-your-database[^] and http://www.ajaxline.com/32-tips-to-speed-up-your-mysql-queries[^] (though I would disagree about the first tip, most of them are relevant to MsSql as well)

All above solutions are very good. And i hope mine will be good too...
Try to change windows authentication to "single" sql server user ("single" becouse it differ from single user database on ms sql server). There is only one condition: you need to create authentication database and log-on window (where user types his login and password) ;)
It's simple to use and very simple to manage:
1) reading user permissions from database it's much faster then read it from windows-rihts,
2) there is only one place to manage users permissions,
3) you can set up users permission to each database on ms sql server,
4) you can set up permissions to your applications (using rules, department name and others)
4) you don't need to change windows rights, permissions,
5) only one user can connect to the database.

I hope it's understandable. I know my english is not perfect ;)