If I understand correctly, you are showing a message box prior setting your application theme, hence the message box does not have the correct theme. If so, you can use the following method, prior showing the text box, to set its theme:
RadMessageBox.SetThemeName("yourThemeNameHere");
EDIT: Here is what you can try:
static void Main()
{
Application.EnableVisualStyles();
Application.SetCompatibleTextRenderingDefault(false);
Form f = new Form1(); //this contains some Telerik WinForms controls
Telerik.WinControls.RadMessageBox.SetThemeName("TelerikMetro");
Telerik.WinControls.RadMessageBox.Show("test");
Application.Run(f);
}