Register the mediator at the same time you create the window, just as you would with any other object where instantiation has been deferred.
Have a look at Simon Bailey's post on handling Popups:
http://www.nutrixinteractive.com/blog/?p=329 In his case it isn't a native window, but a Flex TitleWindow popup but the concept is the same. You need to create the popup, wrap a mediator around it and then have it removed when the window goes away.
-=Cliff>