To change the splash screen, put the downloaded image in an unobtrusive location (since it will need to remain there as long as you want it to be the splash screen). A logical location would be ~/.gnome/splash.png (or .jpeg if the image is a JPEG). Then, edit the GConf key /apps/gnome-session/options/splash_screen using the Configuration Editor (Panel menu->System Tools->Configuration Editor) or the commandline tool gconftool-2.