I am writing a custom PSSnap-in which is a wrapper around a C++/CLI interop library which is itself a wrapper around a bunch of native code. The interop library has to be initialized before it can be used. In an ASP.NET app I put the init code in global.asax.cs by overriding Application_OnStart.

I can't find an equivalent event in Powershell to ASP.NET's Application_OnStart or C++'s DllMain DLL_PROCESS_ATTACH events.

Any suggestions?

You can try using a static constructor for the snapin, or the cmdlets ...

Or make it a module, and use an on-load script (you specify them in the metadata). Off the top of my head I can't think what gets called on-load in a snapin (there's a bunch of on-install stuff, but that won't help)