To show a message box when the form has been shown:

Public Class Form1
    Private Sub Form1_Shown(sender As Object, e As EventArgs) Handles MyBase.Shown
        MessageBox.Show("Hello, World!")
    End Sub
End Class
To show a message box before the form has been shown:

Public Class Form1
    Private Sub Form1_Load(sender As Object, e As EventArgs) Handles MyBase.Load
        MessageBox.Show("Hello, World!")
    End Sub
End Class

Load() will be called first, and only once, when the form first loads. Show() will be called every time the user launches the form. Activate() will be called every time the user makes the form active.

Load() will execute before Show() is called, but be warned: calling msgBox() in show can cause that msgBox() to execute before Load() is finished. It is generally a bad idea to depend on event ordering between Load(), Show(), and similar.