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MainForm main = null
using(SplashScreen splashScreen = new SplashScreen()) {
   splashScreen.Show();
   //  hier kann auch ein LoginForm eingebaut werden
   main = new MainForm();  // visible = false vorbelegen
   main.Init(splashScreen.GetShowInitialization, username usw.);
}
if (main != null)
   Application.Run(main);					

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namespace SplashScreen
{
    static class Program
    {
        /// <summary>
        /// Der Haupteinstiegspunkt für die Anwendung.
        /// </summary>
        [STAThread]
        static void Main()
        {
            Form1 MainForm = null;
             
            Application.EnableVisualStyles();
            Application.SetCompatibleTextRenderingDefault(false);            
            
            using (SplashForm Splash = new SplashForm ())            
            {
                Splash.Show();
                MainForm = new Form1();
                      
                MainForm.ConnectingDatabase();
               
                Splash.Close();                
            }

            if (MainForm != null)
            {                
                Application.Run(MainForm);
            }
        }
    }
}					

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namespace SplashScreen
{
    public delegate void InitializingStatusMessageEventHandler(String StatusMessage);

    public partial class Form1 : Form
    {
        static public event InitializingStatusMessageEventHandler InitializingStatus;

        public Form1()
        {
            InitializeComponent();
            this.Visible = false;           

        }

        public void ConnectingDatabase()
        {
            System.Threading.Thread.Sleep(2000);

            if (InitializingStatus != null)
            {
                InitializingStatus("Prima");
            }
        }
    } 
}					

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namespace SplashScreen
{
    public partial class SplashForm : Form
    {
        public SplashForm()
        {
            InitializeComponent();
            Form1.InitializingStatus += new InitializingStatusMessageEventHandler(Form1_InitializingStatus);
        }

        void Form1_InitializingStatus(string Message)
        {
            label1.Text = Message;
            label1.Refresh();
        }
    }
}					

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Splash.Show();
MainForm = new Form1();
MainForm.InitializingStatus += Splash.HandleStatus;
MainForm.ConnectingDatabase();					

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public class InitializingStatusEventArgs : EventArgs
{
  public string Message { get; set; }
  public int Progress { get; set; } // [0..100], falls du noch eine hübsche ProgressBar willst
}
...
public event EventHandler<InitializingStatusEventArgs> ...