I dont think this is what he meant...
Do you want to change the loading screen on NFSU2 so when you load the game you get a different one? (this is what i think you mean)
or
Do you want to change your windows boot screen to the NFSU2 one? (what other people seem to think you meant)
If the latter... yes use BootXP.
If the first, i dont know of a way of doing that