Yeah, I figured that.
I think I will go with my original idea because I have just found another brilliant tutorial on Wavelength (The new site).
I can't link the tutorial, because the guy's at Wavelength don't appreciate links. But if you drop over there you will find it under "Creating Custom Splash screens for you Mod in Steam".
I know this isn't the same as splash screens for HL, but it is the same sort of thing.