The following is needed in your GRUBs menu.lst file, you may need to adjust it depending on your configuration and where you put the downloaded file
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#path to the image
splashimage=(hd0,0)/grub/splashimages/xubuntu-grub.xpm.gz
#the following is used to change the screen colours when splashimage is used
# Set text color to RRGGBB
foreground E4E5EF

# Set shadows and selected highlight to RRGGBB
#this is NOT the screen background but the text shadow
background 879CB8