Call To Application.Run(New MyForm()) Not Working When Called Outside Sub Main?

I am using Compact Framework 3.5 on a Symbol MC50.In my Sub Main it first checks to see if a database exists. If it does, it shows a login screen using the following code:

Dim login As frmLogin = New frmLogin()
If login.ShowDialog() = DialogResult.OK Then
Application.Run(New frmMain())
End If

This all works correctly and, when I close frmMain, it exits the application as expected.However, if the database check in Sub Main fails, I call the ShowDialog() method of another form that is used to create and fill the database from a live server. Here is the code for calling this form:

If Not File.Exists(SETTINGS_LOCALDB) Then
databaseExists = False
MessageBox.Show("Local DB does not exist. The database must be created before using the application.")[code].....

All of this code is being hit and frmMain does indeed load. However, when I click the close button in the top right nothing happens, no event occurs. Its as though the Windows events are not occurring.