So add a configuration file entry: "FirstRun" and defaulkt it to true.
Check it when your application starts, and if true, deal with your initial setup stuff. Then set it to false.
It's easy to do:
Open your project Properties in the Solution Explorer, and double click on "Settings.settings"
Create a new setting with the following properties:
Name FirstRun
Type bool
Scope User
Value
This will persist the value to the application settings file.
Add the following to your main Form constructor or Shown Event handler:
if (Properties.Settings.Default.FirstRun)
{
Properties.Settings.Default.FirstRun = false;
Properties.Settings.Default.Save();
}