You can make a splash screen like this:

Create a splash screen window with a picture. You can use a dialog here.
Call CreateDialog or CreateWindow. If the window doesn''t have WS_VISIBLE, also call ShowWindow and UpdateWindow.
Execute creation code. This includes creating your main window and initing graphics.
Call DestroyWindow on your splash screen.
Call ShowWindow on your main window.
After this, go to the game loop.

I implemented a splash screen like this. It only has "loading please wait" string, though, as I suck at making graphics.

IMO, UT doesn''t show splash screen long enough. It does still more init work after the window is created, and even more after it switches video mode.