This subject [splashscreen] really is never answered well. Instructions are not in the "manual". If anything there is a question in the FAQ that asks about it ...

"Q. How can I create a start screen for the engine (while loading the intro level) instead of the standard screen? Is that only possible with the Professional edition?
A. Yes."

That is not an acceptable answer.

Here is another thread that some people, not me, have had success with:
http://www.coniserver.net/ubb7/ubbthreads.php?ubb=showflat&Number=212070&Searchpage=8&Main=25014&Words=splash+screen+pro&Search=true#Post212070

A tutorial on this subject would be a great contribution.