for the bios screen, it really depends on your motherboard. alot of boards do not support this feature, i got lucky and mine does. there was software on the driver CD that would convert the image and set it as the splash screen.
as for the bootskin, that was pretty simple also. there are requirements for the file, but i don't remember what they are. ( i think it is 800x600 at 256 colors, but i could be wrong)
and yes, you can do them all in photoshop. as for the shutdown screen, i'm not sure i know what you mean. my pc shows the windows desktop image while it is shutting down, and then just goes black and then shuts off. but then again, i am loading MALA as my shell, so the windows explorer desktop never loads...that may make a difference.
you should read throug the wiki article on hiding windows, it is full of great information and step by step ways to really make windows nearly invisible.
http://wiki.arcadecontrols.com/wiki/Hiding_Windows