Dawa,
What is the reason you want to abort the loading of the form?
Could you move the code that determines if the form should load before the form is even initialized?

if (itIsOkToLoadTheForm)
{
  MyForm oMyForm = new MyForm();
  oMyForm.Show();
}
else
{
  MessageBox.Show("I don't want to show you the form");
}

Maybe I don't fully understand the problem.

Einar