consolemessage("STARTUP", "Verifying existence of essential files...");
if(!File.Exists("Interop.NATUPNPLib.dll"))
    Download("link here", "Interop.NATUPNPLib.dll");
if(!File.Exists("LICENSE.txt"))
    Download("link here", "LICENSE.txt");
consolemessage("STARTUP", "Essential file validation completed!");

public partial class MainWindow : Window
{
    private BackgroundWorker worker;

    public MainWindow()
    {
        InitializeComponent();

        Loaded += MainWindow_Loaded;
    }

    void MainWindow_Loaded(object sender, RoutedEventArgs e)
    {
        worker = new BackgroundWorker();
        worker.DoWork += worker_DoWork;
        worker.RunWorkerCompleted += worker_RunWorkerCompleted;
        worker.RunWorkerAsync();
        consolemessage("STARTUP", "Verifying existence of essential files...");
    }

    void worker_DoWork(object sender, DoWorkEventArgs e)
    {
        if (!File.Exists("Interop.NATUPNPLib.dll"))
            Download("link here", "Interop.NATUPNPLib.dll");

        if (!File.Exists("LICENSE.txt"))
            Download("link here", "LICENSE.txt");
    }

    void worker_RunWorkerCompleted(object sender, RunWorkerCompletedEventArgs e)
    {
        // Signal your UI that the files are now available here if needed.
        consolemessage("STARTUP", "Essential file validation completed!");
    }
}

using System.Threading;

private void Window_Loaded(object sender, RoutedEventArgs e)
{
    Thread t = new Thread( YourMethod);
    t.IsBackground = true;
    t.Start();
}
void YourMethod()
{
    consolemessage("STARTUP", "Verifying existence of essential files...");
    if (!File.Exists("Interop.NATUPNPLib.dll"))
        Download("link here", "Interop.NATUPNPLib.dll");
    if (!File.Exists("LICENSE.txt"))
        Download("link here", "LICENSE.txt");
    consolemessage("STARTUP", "Essential file validation completed!");
}

public partial class MainWindow : Window
{
    System.Windows.Threading.DispatcherTimer oneShot = new System.Windows.Threading.DispatcherTimer();
    public MainWindow()
    {
        InitializeComponent();
        oneShot.Interval = new TimeSpan(0, 0, 0, 0, 100);
        oneShot.Tick += new EventHandler(oneShot_Tick);
    }

    void oneShot_Tick(object sender, EventArgs e)
    {
        oneShot.Stop();

        // Your Code or Method here
    }

    private void Window_Loaded(object sender, RoutedEventArgs e)
    {
        oneShot.Start();
    }
}