I second using BootSkin. There are heaps of boot screens for it published, and it is easy to make your own as well.
They can have a slidey progress bar like the original one as well, the custon screens needn't be static.
BootSkin is legal.
The only way to do it illegally would be to break the EULA between you and Microsoft, and if you did, I doubt that Bill Gates would have you taken to court and sued. There is no law (that I know of) that prohibits personalising your Windows boot screen. Many jurisdictions invalidate the EULA anyway, but if you breach it, just keep it a secret
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