public static class Splasher
{
    private static Window mSplash;

    public static Window SplashScreen
    {
        get
        {
            return mSplash;
        }
        set
        {
            mSplash = value;
        }
    }

    public static void ShowSplashScreen()
    {
        if (mSplash != null)
        {
            try
            {
                mSplash.Show();  // <--- HERE IT THROWS EXCEPTION
            }
            catch (Exception e)
            {
                Console.WriteLine(e.Message);
            }
        }
    }

    public static void ShowDialogSplashScreen()
    {
        if (mSplash != null)
        {
            mSplash.ShowDialog();
        }
    }

    public static void CloseSplashScreen()
    {
        if (mSplash != null)
        {
            mSplash.Close();

            if (mSplash is IDisposable)
            {
                (mSplash as IDisposable).Dispose();
            }
        }
    }
}

<Window x:Class="My.Tools.XAML.Controls.Windows.WpfSplashScreen"
    xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
    xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
    xmlns:local="clr-namespace:My.Tools.XAML.Controls.Windows"

    xmlns:gif="http://wpfanimatedgif.codeplex.com"

    ResizeMode="NoResize" WindowStyle="None"
    WindowStartupLocation="CenterScreen"
    Title="WpfSplashScreen"
    Height="305" Width="585"
    Loaded="Window_Loaded">

    <Window.Background>
        <ImageBrush ImageSource="/My.Tools.XAML;component/Resources/Background.jpg"/>
    </Window.Background>
    <Grid>
        <Grid.RowDefinitions>
            <RowDefinition Height="0.5*" />
            <RowDefinition Height="2*" />
            <RowDefinition Height="0.5*" />
        </Grid.RowDefinitions>
        <Grid Grid.Row="0">
            <Grid.ColumnDefinitions>
                <ColumnDefinition Width="50*" />
                <ColumnDefinition Width="50*" />
            </Grid.ColumnDefinitions>
            <StackPanel Grid.Column="0" Orientation="Horizontal" Margin="8 5 0 0">
                <Image x:Name="Logo" Width="24" Height="24" VerticalAlignment="Top" />
                <Label x:Name="ScreenTitle" FontFamily="Microsoft Sans Serif" FontSize="11.25" Foreground="White"
                       VerticalAlignment="Top" VerticalContentAlignment="Center">ScreenTitle</Label>
            </StackPanel>
            <StackPanel Grid.Column="1" Orientation="Horizontal" HorizontalAlignment="Right" >
                <Label x:Name="MinimizeButton" FontFamily="Webdings" FontSize="18" Foreground="White" HorizontalContentAlignment="Right" MouseLeftButtonUp="MinimizeButton_MouseLeftButtonUp" MouseEnter="MinimizeButton_MouseEnter" MouseLeave="MinimizeButton_MouseLeave">0</Label>
                <Label x:Name="CloseButton" FontFamily="Webdings" FontSize="18" Foreground="White" HorizontalContentAlignment="Right" MouseLeftButtonUp="CloseButton_MouseLeftButtonUp" MouseEnter="CloseButton_MouseEnter" MouseLeave="CloseButton_MouseLeave">r</Label>
            </StackPanel>
        </Grid>
        <StackPanel Grid.Row="1" VerticalAlignment="Center" SnapsToDevicePixels="False" Orientation="Vertical">
            <Label x:Name="Message"
                   HorizontalAlignment="Center" HorizontalContentAlignment="Center" VerticalContentAlignment="Bottom"
                   FontFamily="Microsoft Sans Serif" FontSize="36" FontStyle="Italic" FontWeight="Bold"
                   Foreground="White" Content="Message"/>

            <Label x:Name="Submessage"
                   Margin="0 0 0 25"
                   FontFamily="Microsoft Sans Serif" FontSize="10" Foreground="White"
                   HorizontalAlignment="Center"  HorizontalContentAlignment="Center" VerticalContentAlignment="Top"
                   Content="Submessage"/>

            <Image x:Name="img" Stretch="None" HorizontalAlignment="Center"/>

        </StackPanel>
        <StackPanel Grid.Row="2" Orientation="Horizontal">
            <Label x:Name="CurrentTask"
                   Margin="8 0 0 3"
                   FontFamily="Microsoft Sans Serif" FontSize="18" FontStyle="Italic"
                   Foreground="White"
                   Content="Loading"
                   HorizontalContentAlignment="Right" VerticalContentAlignment="Bottom"/>

            <Label x:Name="Dots"
                   Margin="0 0 0 3"
                   FontFamily="Microsoft Sans Serif" FontSize="18" FontStyle="Italic"
                   Foreground="White"
                   HorizontalContentAlignment="Left" VerticalContentAlignment="Bottom">
            <Label.Style>
                <Style TargetType="Label">
                    <Style.Triggers>
                        <EventTrigger RoutedEvent="Label.Loaded">
                            <EventTrigger.Actions>
                                <BeginStoryboard>
                                    <Storyboard>
                                        <ObjectAnimationUsingKeyFrames Storyboard.TargetProperty="Content" Duration="00:00:00.8" RepeatBehavior="Forever">
                                            <DiscreteObjectKeyFrame KeyTime="00:00:00.0" Value=""/>
                                            <DiscreteObjectKeyFrame KeyTime="00:00:00.2" Value="."/>
                                            <DiscreteObjectKeyFrame KeyTime="00:00:00.4" Value=".."/>
                                            <DiscreteObjectKeyFrame KeyTime="00:00:00.6" Value="..."/>
                                        </ObjectAnimationUsingKeyFrames>
                                    </Storyboard>
                                </BeginStoryboard>
                            </EventTrigger.Actions>
                        </EventTrigger>
                    </Style.Triggers>
                </Style>
            </Label.Style>
        </Label>
            </StackPanel>
    </Grid>
</Window>

public partial class WpfSplashScreen : Window
{
    public WpfSplashScreen()
    {
        InitializeComponent();
    }

    public WpfSplashScreen(string waitMessage, string message, string submessage, string screenTitle, Icon icon)
        : this()
    {
        ImageSource imageSource = icon.ToImageSourceW();
        this.Icon = imageSource;
        this.logo = imageSource;

        this.CurrentTask.Content = waitMessage;
        this.Message.Content = message;
        this.Submessage.Content = submessage;
        this.ScreenTitle.Content = screenTitle;
        this.Logo.Source = logo;
    }

    private void Window_Loaded(object sender, RoutedEventArgs e)
    {
        var image = new BitmapImage();
        image.BeginInit();
        image.UriSource = new Uri("/My.Tools.XAML;component/Resources/metroProgressBar.gif", UriKind.Relative);
        image.EndInit();
        ImageBehavior.SetAnimatedSource(img, image);

        ImageBehavior.SetAutoStart(img, true);
        ImageBehavior.SetRepeatBehavior(img, RepeatBehavior.Forever);
    }

    // Other stuff
}

Splasher.SplashScreen = new WpfSplashScreen("Loading",
                        entryAssemblyInfo.ProductTitle,
                        string.Format("Version {0}",
                        entryAssemblyInfo.Version),
                        entryAssemblyInfo.ProductTitle,
                        GetWindowIcon());

Splasher.SplashScreen.Closed += OnSplashScreenClosed;
Splasher.ShowSplashScreen();

public static void ShowSplashScreen()
    {
        if (mSplash != null)
        {
            try
            {
                mSplash.Show();  // <--- HERE IT THROWS EXCEPTION
            }
            catch (Exception e)
            {
                Console.WriteLine(e.Message); // despite exception is thrown it never reaches here.
            }
        }
    }