Michael Wolf has s blog post showing how to create a native style splash screen in Silverlight OOB applications.
Source: Cynergy Blogs
More and more we’re seeing the out-of-browser Silverlight functionality really take off. Lots of different customers are seeing OOB Silverlight as a great option not only for cross-platform desktop apps (even on Linux now with Moonlight 4 beta out), but also for a full Windows-based desktop and Slate apps. Progressively, we’re seeing more and more features added to Silverlight to enable building just about any full desktop app as a Silverlight OOB app, be it through the Silverlight Native Extensions or through all the new Silverlight 5 features. Yet single- or cross-platform, it doesn’t seem real unless it looks and feels real, and nothing helps bring that feeling like a splash screen.