Lazy initialization in .NET 4

What is lazy initialization. here is the code i got after search google.

class MessageClass
{
    public string Message { get; set; }

    public MessageClass(string message)
    {
        this.Message = message;
        Console.WriteLine("  ***  MessageClass constructed [{0}]", message);
    }
}

Lazy<MessageClass> someInstance = new Lazy<MessageClass>(
    () => new MessageClass("The message")
    );

Why should I create an object in this way?
When actually we need to create object in this way?