You can do it but theres 2 ways to do it,
First you can use a program to change what you want like windows blinds for themes and bootskins for the bootscreen.
Or you can hack the system and put your own in.
I would reccomend using software to do it, but the trade off is that it can slow older pc,s
Windows blinds is pretty cool and gives you alot of choices with themes and such but you do have to pay if you want the full package,
Winstep is another good theme manager that gives you alot of other tools as well.
I myself use Windows blinds as i find it easier to use, but both are good.
As for changing the boot screen well you only see it 1% of the time so is it really necessary?
Btw heres what my desktop looks like after a bit of tarting up,
It is a fun thing to do and you can get great results with using other software in conjunction with the programs but it can slow up an older pc.
Also it offers little benefit to the pc apart from making it look better.