There are two Programs I've used:
BootXP
www.bootxp.netChangerXP
www.nihuo.com/changerxp.htmlI Prefer BootXP's themes, and you can just throw any jpg, gif, bmp, or theme availiable online into it, and you still get the nice rotating progress bar. Best program by far.
Changer XP has a great option that you can have it change the boot screen on startup, so each time you start, you have a different boot screen, and also lets you select any image(s) and will auto format them. but it doesn't support some of the cool boot screens I like, has a nag screen, and is always resident, taking a little resources. But it also can change the wallpaper, windows theme, bootscreen, screensaver etc... as a theme.
Hope this helps!
SD