How to define my own main method in WPF

I don't believe you can, directly. The designer introduces its own Main method.

What you can do is create your own separate class with a Main method, which in turn calls App.Main when you want to:

using System;

namespace AppWithCustomMain
{
    class CustomMain
    {
        [STAThread]
        static void Main()
        {
            Console.WriteLine("CustomMain!");
            App.Main();
        }
    }
}

Then set the "startup object" build setting in your project properties to CustomMain, and it should call your Main method first, which in turn calls into App.Main.

This is assuming you really need to get in before anything else, however. Normally you'd just either subscribe to the Application.Startup event, or override Application.OnStartup within your Application subclass.