In the example that you gave, neither of the to choices is better. Both of these snippets instantiate a member variable during construction of the class. The only real difference is that, in the second case, the member is initialized before the constructor is executed.
The only time that it really makes a difference is when the member variable needs information passed into its constructor that the Main class gets in it's constructor. Then you have no choice but to use the second option.
For example:
public class MainWindow
{
private Test _test;
public MainWindow(int i)
{
_test = new Test(i);
}
}