private void Window_Loaded(object sender, RoutedEventArgs e)
{
    MessageBox.Show("MyMessage");
}

private void Window_Loaded(object sender, RoutedEventArgs e)
{
    InitializeComponent();

    this.Dispatcher.BeginInvoke(DispatcherPriority.Background,
        new Action(delegate() { MessageBox.Show("MyMessage"); }));
}