I spent a frustrated half-hour today trying to set the Location property of my Application and couldn't get it to work. In the end an email to DevelopMentor Winforms mailing list solved the problem. To have your choice for location respected you must set the StartPosition property to Manual. While it was a pain to discover StartPosition, it will do some of the hard work for you. If all you need is to centre your form on the Screen or its parent then use CenterParent or CenterScreen (members of the FormStartPosition enum). I guess I just missed StartPosition in the morass of properties that a Form has.
Thanks to Dean Cleaver (aka Dino) for pointing me in the right direction.