Do you mean the screen with the boot options?
Does Puppy use GRUB? If so, look at the the config file: /boot/grub/menu.lst
Post the first 10 lines here.
My system (Mepis65) uses something called gfxmenu--I don't know if this is used on Puppy
Google using "gfxmenu grub"---There are lots of links on how to setup splash screens
GRUB manual here