Heres how I added a grub splash image: (with info I gathered from various places)
First you'll probably want to make a backup of the file we are going to be editing so in a terminal type something to the effect of "sudo cp /boot/grub/menu.lst /boot/grub/menu.lstbak" you could probably name the backup whatever and put it where ever just remember where and what just in case.
Next find your grub splash image (It has to be a *.xpm.gz file)
there are a few at gnome-look.org and grub actually comes with a few located in /boot/grub/splashimages. For simplicities sake I moved the file I downloaded to /boot/grub/splashimages so it could be with its friends and I would always know where to find it.
Then open (as root) /boot/grub/menu.lst in the text editor of your choosing
in my case this was "sudo vim /boot/grub/menu.lst" Then I added the line
"splashimage=(hd0,0)/boot/grub/splashimages/myfilename.xpm.gz" at almost the very beginning of the file, mine looked like this:
*note* I used (hd0,0) because I boot from hda1 if you boot from hda6 for example this would be (hd5,0) should you be in doubt scroll down in menu.lst until you see the kernel options and look for a line that says "root" and use whatever it tells you on that line.
# menu.lst - See: grub(8), info grub, update-grub(8)
# grub-install(8), grub-floppy(8),
# grub-md5-crypt, /usr/share/doc/grub
# and /usr/share/doc/grub-doc/.
I also found the option that turns on hidden menus (so you have to push esc to see it) and deleted the uncommented line that only reads "hiddenmenu" since I did this before I knew it worked I'm not sure if its necessary but from my experience it doesn't hurt anything.
Then I saved my changes restarted and it worked.