Hi. You must implement your toolbox item to do this..
by overriding CreateComponentsCore function you can do your custom
initilization or cancellation..
Here  is sample code...

[Serializable]
public class MyToolItem:System.Drawing.Design.ToolboxItem
{
 public  MyToolItem(System.Runtime.Serialization.SerializationInfo
  info, System.Runtime.Serialization.StreamingContext context)
 {
  base.Deserialize(info,context);
 }

 public MyToolItem()
 {
 }
 public MyToolItem(Type toolType):base(toolType)
 {
 }
 protected override IComponent[] CreateComponentsCore(IDesignerHost host)
 {
  //MessageBox.Show("Create component");
  string name="DesiredName";
  int i=0;
  string cName = null;
  while(cName == null)
  {
   cName = name +( (i > 0   ? i.ToString():string.Empty));
   foreach(IComponent cmp in host.Container.Components  )
   if(cmp.Site.Name == cName)
   {
    i++;
    cName=null;
    break;
   }
  }

  IComponent c =  host.CreateComponent( Type.GetType(this.TypeName),cName);
  return new IComponent[] {c};
 }
}

 [ToolboxItem(typeof( MyToolItem))]
public class MyClass:Component
{
...........................