Hello Yasemin,
You need to do these steps.
1 - create a dir in c:\WINCE600 (like Personalization)
2 - put your splash file (Splash.jpg or bmp) in Personalization folder
3 - create a new empty subproject and add these commands
xxxxx.bib
FILES
splash.jpg $(_WINCEROOT)\Personalization\splash.jpg NK H
xxxxx.reg
; initial value for background bitmap
[HKEY_CURRENT_USER\ControlPanel\Desktop]
"wallpaper"="\\Windows\\Splash.jpg"
Use your own method to rebuild or (clean and rebuild all)
I have no WInCE expertise, but you can try these:
http://geekswithblogs.net/BruceEitman/archive/2008/05/14/windows-ce-bootloader-splash-screen.aspx