A user on another forum answered this question for me. I created a small shell script (text file saved with .vbs extension) to display the dialog box when the program is opened from a Desktop shortcut targeting the script file.
Here's the link to the post in the other forum for more details:
The script that worked for me is shown below:
startupMessage = MsgBox("...close the lid gently and only use the button to open it.", 0, "To prevent instrument damage...")
Set WshShell = WScript.CreateObject("WScript.Shell")
Dim cmd
cmd = "C:\Program Files\InstrumentApplication.exe"
cmd = chr(34) & cmd & chr(34)
WshShell.Run(cmd)