I would assume this is because there is a chain of events to be raised when a form is shown, as can be seen here. I would do one of two things:
1. Rethink the design of this solution. Can whatever it is you are doing in the Load eventhandler of Form2 be done before the form is created in the first place? This would avoid the entire process of creating Form2 and attempting to display it only to close it down instantly.
2. Use the Shown event instead of the Load event and see if that works better.

I would go with soution #1 any day. It would make for a better design.