This is a real surprise to me, when I was trying to search as to how to make an icon for my game on the iphone screen. Along with this came in the simplicity to create a splash screen for the same game. First thought there would be some procedure involved in it. Then it seemed the procedure is to name two files as per the naming convention (yes, its not configuration but convention, the principle of convention over configuration) and then rest is just taken care of.
So if we put 2 images inside our project resources folder and name them as “Icon.png” and “Default.png” we are done with the making of our icon and splash screen.
Well, the sizes also take some importance, in my case “Icon.png” is of “57×57″ and “Default.png” is of “320×480″ px. If after naming appropriately the icon and the splash screen do not show, up make sure that their dimensions match exactly as mentioned now.

Hope that helps someone out there.