Welcum to XNations!
It's hard to determine what it is you need to do without seeing an example, but here is some areas to look into;
change the image size
play with the quality
be aware of the number of images on a page
slice the images up into smaller parts instead of downloading one major image
look into how many colors are used and how many you can get away with using
check the size of Flash files
check the image extension gif / jpg /bmp
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