We are in a domain (lets call it "mydomain"). Whenever I try to resolve a name, (lets say I try to access serverfault.com), I can see that serverfault.com.mydomain is tested first, timeout then, serverfault.com is tested and resolved. So most of time when I try to reach something outside the domain, I have to wait 2 sec timeout before being able to reach it. What did I do wrong when I configured my domain?
That's perfectly normal. Without the trailing dot (.) Windows will append the primary DNS suffix to the query and then use devolution to strip the primary DNS suffix. You can verify this by running nslookup in debug mode (set debug) and then querying for serverfault.com.