How to prevent Form from loosing focus (in the application)

We all know that .ShowDialog() is great but sometimes You want to show user some window and keep program running. (.ShowDialog() freezes code execution in method as we all know) Let's say You have this scenario that You want to have form that will not loose focus but at the same time You...

Form f = new Form(); f.Shown += delegate(object s, EventArgs e) { MessageBox.Show("Here you go!"); } f.ShowDialog();