Before we start, you will need to download one of two programs I know of that can do this. They are either "LogonStudio"
for Windows XP, "LogonStudio"
Once you have one of these two programs you can either download already made "Skins" for your login screen, or you can make one yourself. If you want to just download one, then follow this link here
for LogonStudio XP, here
for LogonStudio Vista, or here
for BootSkins. If you want to make your own, the easiest way to do it is to use LogonStudio.