If you want to modify these things under XP, you can take a look at this site: http://www.themexp.org. They call the boot screen "boot screen". The downloaded one is indeed the ntoskrnl.exe as W said, and there is also an ntoskrnlps.exe. There are many things that can be modified under XP, including the user login screen (login) and the window style (Visual Style). Here are a few related pictures:
logins:

boot screens:

Visual Styles:

(There are many more, go to that site to find them)
As for 2000, I'm not very clear. I've only been using 2000 recently and haven't paid much attention to things related to 2000 before.
Make all preparations yourself before modifying, think about the solutions in case of problems, and you are responsible for the consequences (anyway, I'm not responsible ^_^)
Also, no one can remember everything, so maybe some things from memory will be given as reference. As for how to get useful things from them, it depends on yourself. If you want to learn something, you can't do it without trying yourself.