[.NET] Why do I get a memory exception (or a system exception etc) when I try to open a document or call a PDFNet API function for the first time?

Q: Why do I get a memory exception (or a system etc) when I try to
open a document or call a PDFNet API function for the first time in my
application?

I have the PDF loaded into a byte array and when I use:
Dim doc As PDFDoc = New PDFDoc(imageData, imageData.Length)
But I am getting a memory exception.
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A: The problem is that you didn't initialize PDFNet before calling
other API functions. You need to initialize PDFNet using
PDFNet.Initialize() before calling any other PDFNet method. For more
information, please see http://www.pdftron.com/net/faq.html#pdfnet_init.