this is very interesting, and something I want to do too.
I did a quick google search and came by this link:
it seems very technical, but I'll sit down and read it later
edit: it may be easier than it looks for just changing the pictures. if you wanted to change the orientation, etc, it looks like it gets harder and you'd have to use a hex editor.
for now, get reshack http://www.users.on.net/johnson/resourcehacker/
it's a freeware resource editor
run it, open c:\windows\system32\ntoskrnl.exe
it's going to be under the "bitmaps folder"
and you can export the pictures, modify them, and replace them. remember to back up the original!s