Without seeing your query, it is hard to tell how you might optimize it. Search for the kb article on client/server optimization. One thing I have noticed is that Jet doesn't optimize subselects efficiently. You usually get better results with nested queries and outer joins.
Jet makes every effort to "pass-through" queries to the back end server. If your queries are significantly slower when run from Access, you may need to rework them to help Jet out.