First go to
www.kde-look.org
You can change the Lilo, bootsplash, kdesplash, and kmenu.png files to your hearts contents.
This is fairly easy to do.
kmenu.png is the star on the menu. Each Icon theme has a different version, so you merely replace kmenu.png with the .png icon you want in that icon theme.
The Lilo bootsplash (where you choose the OS at the first stage boot) is located in /etc/bootsplash.
Changing the bootsplash requires some minor manipulation of /etc/lilo.conf. See my posts on kde-look.org as I've done one specifically for Mandrake.
The bootsplash theme can also be changed (where you see the moving bar as Mandrake comes up, along with the console background image) See kde-look.org for some that you can install. This can be changed from the Mandrake Control Center easily.
The background pictures and colors you see in the graphical login can be easily changed in KDE's control center if you switch to KDM instead of mdkkdm.
Finally the KDE splash, what you see as you are logging in, can also be changed with the KDE control center. It's trivial to add new kde splash screens.
