You cannot open 'pop-up windows' in a PDF file as you can with a web page, so you have two options:
- Create the message as a hidden layer in the PDF file, and add buttons to the page allowing the user to hide it.
Neither will work very well in non-Adobe software or on mobile platforms.
I would do this similar to Dave Merchant's option #1 but not with a layer.
Create the message as a button in InDesign over the first page. So it will look like a pop up has appeared over the first page. You can even apply a shadow to the message as it floats over the first page.
Then apply the action to hide that field. It disappears and the reader continues.
The reason I wouldn't use the layer is you can't set the layer visibility in InDesign and doing it in Acrobat is awkward and might not work correctly.
I've created an example like Salah did, but I'm not too sure you'll be able to get to it so pardon me if you can't.
You could make a portfolio in Acrobat Pro, there it is possible to create aspecial welcome screen, a cover sheet or whatever you want, you can also open the PDF portfolio with a SWF animation and an information what will happen if the Reader is not compatible. More info to that you will find in the Acrobat forum.
A PDF portfolio can contain 1 or more files, PDF and a lot of other file types too.