Boot XP will allow you to change the XP boot screen to something more appropriate (i use the Atari emblem myself). Basically, you have to hack the Windows kernel file.
If you go to Control Panel and change the way that users log on you will not only never see the logon screens, but the machine should start slightly faster as well.
I don't know of any way to get rid of the taskbar/mouse in XP. In Win9X operating systems you could just change the shell, but XP doesn't like that very much.
You'll probably also notice the blue shutdown screen in XP. I don't know of any way to get rid of that one either.