The ramdisk is loaded at the very beginning of the boot process. It contains modules and scripts that may not be includes into the kernel. This allows to make the kernel smaller (and maybe more flexible). As you see, it also contains the splash picture, so it becomes available even before the filesystem gets mounted.
mkinitrd is the command to create this ramdisk.
You may change the splash screen any time (I have a nice penguin as background of the verbose-screen). Have a look at www.bootsplash.org