If your Main application calls the main form from within
itself you may have more difficulties however you may wish
to move your forms to within a class library and
Instantiate the splash on a seperate thread while the main
forms are loading.
This post from the experts-exchange shows a discussion on
the topic using VB.NET: http://www.experts-
exchange.com/Programming/Programming_Languages/Dot_Net/Q_20
836799.html