The initialization/setup of stubs belongs to the arrange phase. The arrange phase is used to get the system into a known state before you exercise it.
In MSpec, the arrange phase is performed in Establish fields. For example:
public class When_the_temperature_threshold_is_reached
{
    static ITemperatureSensor Sensor;
    static Threshold Threshold;
    Establish context = () =>
        {
            Sensor = MockRepository.GenerateStub<ITemperatureSensor>();
            Sensor
                .Stub(x => x.GetTemperature())
                .Return(42);
            Threshold = new Threshold(Sensor);
        };
    Because of = () => Reached = Threshold.IsReached(40);
    It should_report_that_the_threshold_was_reached =
        () => Reached.ShouldBeTrue();
}
When you write more tests using that kind of ITemperatureSensor, you should extract a base class that does complicated or repeated setup.
public abstract class TemperatureSpecs
{
    protected static ITemperatureSensor CreateSensorAlwaysReporting(int temperature)
    {
        var sensor = MockRepository.GenerateStub<ITemperatureSensor>();
        sensor
            .Stub(x => x.GetTemperature())
            .Return(temperature);
        return sensor;
    }
}
public class When_the_temperature_threshold_is_reached : TemperatureSpecs
{
    // Everything else cut for brevity.
    Establish context = () =>
        {
            Sensor = CreateSensorAlwaysReporting(42);
            Threshold = new Threshold(Sensor);
        };
}
This gives you the advantage that you can influence the stub's return value from the context itself: You do this by keeping as much information as possible local to the context and provide a good name for the "setup" method in the base class.
There is no need to specifiy or expect anything stub-related in Because. When Because is run, your system should be in a state where it can be exercised without further preparation.