The only way to speed up transaction confirmations that I know of is to pay a higher mining fee (like 0.001 instead of 0.0005) - but I'm not sure if your wallet controls will allow you to do that from your exchange. Mt.Gox only allows you to use the standard 0.0005

Incidentally, when I first deposited (BTC) in to Mt.Gox, it took almost 40 confirmations (many, many hours) before it appeared in my wallet, which leads me to believe the slow point is not the network confirmations, but rather the exchanges themselves.