program Project1;

uses 
  Unit1 in 'unit1.pas',
  ....,
  SplashScreen in 'splashscreeen.pas';


begin
 application.initialize;

 application.CreateForm(TSplashFrm, SplashFrm);
 SplashFrm.Show; // Do not put ShowModal !!!!!!

 application.CreateForm(TForm1, Form1); {When your form stop loading
                                         the information, then hide the 
                                         Splash Screen ! }
 ....
 application.run;
end.

...
procedure TSplashFrm.CreateForm(Sender : Tobjecy);
......

begin
 screen.cursor:= crHourglass;
 application.ProcessMessages;
 ...
end;

....

procedure TSplashFrm.Hide(Sender: TObject);
....

begin
  screen.Cursor:=crDefault;
  application.ProccessMessages;
 ...
end;
...