VS 2010 Displaying a msgbox during form load

I want to display a message box if an error occurs in the form load event.

What is happening is that the message box is being displayed, then when the user clicks OK the form is displayed.
I would like the blank form to be displayed with the message box on top - so the user sees the contect of the message box.

Private Sub frmLogin_Load(sender As Object, e As System.EventArgs) Handles Me.Load
' other code
Msgbox ("Error on Load")
End Sub

Am I doing something wrong?