MessageDlg in datamodule

Hi, at start of application i want show error msg if connection fail on datamodule and i use MessageDlg BUT doesn't go : i've only debug (red) informations at bottom of page.

procedure TDM0.conDBError(Error: TXDataWebConnectionError);
MessageDlg(Error.ErrorMessage+': '+Error.RequestUrl, mtError, []);

How solve it ?

From where are you triggering the connection?
It is possible that the form's OnCreate event is too early and therefore, I suggest to move it to form OnShow

happen on datamodule create, at start of application : formMain or first "visual form" is not yet created !

That cannot work to show this type of dialog from there when the main form is not yet created and shown.