This article is from the Miscellaneous Macintosh FAQ, by Elliotte Rusty Harold firstname.lastname@example.org with numerous contributions by others.
First you need an application capable of saving documents
in Startup Screen format such as the freeware XLateGraf or the
shareware GIFConverter. See
Open the graphics file you want to turn into a startup
screen and select Save As... from the File menu. Then select
Startup Screen as the format to save into. Name the new document
"StartupScreen" (no space between Startup and Screen, both S's
capitalized) and put it in the System Folder. The next time the
Mac starts up you should see the happy Mac, followed by the picture.