Here's some info about the wpf application and it's "lifecycle". http://msdn.microsoft.com/en-us/library/ms743714.aspx
And here's some info on InitializeComponent and the role it plays tying into Xaml parsing. What does InitializeComponent() do, and how does it work in WPF?
I'll see if I can find a more official post about the Xaml parsing.
From http://msdn.microsoft.com/en-us/library/aa970678.aspx
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The XAML file is parsed by the markup compiler.
A compiled representation is created for that XAML and copied to the obj\Release folder.
A CodeDOM representation of a new partial class is created and copied to the obj\Release folder.
In addition, a language-specific code file is generated for every XAML file. For example, for a Page1.xaml page in a Visual Basic project, a Page1.g.vb is generated; for a Page1.xaml page in a C# project, a Page1.g.cs is generated. The ".g" in the file name indicates the file is generated code that has a partial class declaration for the top-level element of the markup file (such as Page or Window). The class is declared with the partial modifier in C# (Extends in Visual Basic) to indicate there is another declaration for the class elsewhere, usually in the code-behind file Page1.xaml.cs.
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