Remember those malware-infected IE6, with lots of ads popping out every time you opened a webpage? Closing an ad would inevitably open another... That was simply frustrating.
In MM, it's not that different. For each click, user may think "OK, just one more click and I'll get in". But then... another window/dialog/msgBox appears. Then again and again...
This feeling gets worse given the fact each message/window has a different size or shape. The whole process lacks uniformity.
You all know it very well, but anyway, here is the complete sequence:







What I suggest is to create a First Run Wizard, which would group all those dialogs in an unified interface.
This way, John Doe would know he's going through an initial setup process and would know exactly WHEN his app is ready to open.
Here are a few mockups I made:







More info: http://en.wikipedia.org/wiki/User_experience