PowerShell: 162 124 114 or 20
The Long Way Around
($t=($a='New-Object Windows.Forms')+".Label"|iex).Text='Hello World';($x=iex $a".Form").Controls.Add($t);$x.Show()
Since PowerShell really doesn't have any built-in GUI functionality, I'm having a hard time coming up with anything shorter than this which I feel really fits the original spirit of the challenge. (Or, at least, fits within the parameters several of us have assumed were implied.)
Changes from original:
- Removed window size definition. Apparently, it's optional and the default is plenty large enough.
- Incorporated changes provided by SpellingD in comments. Note: The window which spawns will hang - you'll need to kill PowerShell via Task Manager.
Alternative 20-Character Approach
Removing some assumed-implied requirements, we can also meet this challenge a-la Johannes Kuhn with this:
'Hello World';for(){}
Save as a .ps1 file. Make sure the system's ExecutionPolicy allows unsigned scripts. Right-click and select "Run with PowerShell".