I am showing a splash form by starting a new thread immediately before running my main form.
In the method that is run by this thread, I am using Application.Run as
I realize that this may be an unusual viewpoint but have you considered not using a Splash screen and instead showing the information on the 'welcome page' or 'help > about' screen instead?
There are a handful of reasons to do this:
Unless you get into multi-threading, a Splash Screen may not repaint properly if some alert/msgbox pops up over the top of it, negating the benefit of the splash screen entirely.
Splash screens that show 'you have plugins x, y and z' installed can't really tell this until that information has been loaded up. By the time this info is loaded, your app is ready to go, so you'll either close the splash screen or it'll be in the way of the user.
If I look away and miss the splash screen, I'll miss whatever information you're telling me. If 'License expires in 3 days' is part of that information, and today is Friday, that means I won't realise that on Monday, I can't use the app. Obscure, but I've seen it.