In this tutorial Laurent Duveau explains
how to customize the default splash screen.
The first time a user visit the page which holds your Silverlight app, the browser needs to download the XAP file first, but sometimes this file can become large, so Silverlight automatically displays its default “loading screen”, also called a “Splash Screen”.[...]
Good news is you can customize the default splash screen! To do this you need to create a XAML file for the UI and use a bit of JavaScript to show progression status, this tutorial will show you how step by step. Source code is available at the end.