CMD / Batch - 33 Bytes
I believe the window that the Windows CMD terminal runs in counts as GUI compliant.
start "Hello world" cmd /csleep 3
If you don't have the
sleep command on your system - then you can use
timeout which comes default in Windows 7. For two more bytes.
start "Hello world" cmd /ctimeout 3
Starts a new CMD window with the title "Hello World" (NOT displayed in the terminal itself, but as the title of the GUI window that the terminal runs in), this window will close as soon as all parsed commands have executed - so after
sleep 3 or
timeout 3 has completed.
The window looks like this -
start runs the given commands in a new window - not the window that you are running the above commands from.