So you need a modal window and you are using Flex :). This a small example that will open a modal window when application it’s initialized. I put the title to the modal window, but you can add also an icon.
<?xml version="1.0" encoding="utf-8"?>
<mx:Application xmlns:mx="http://www.adobe.com/2006/mxml"
layout="absolute" initialize="openModalWindow()">
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