Buenas,
La web de Oracle es bastante clara al respecto:
https://blogs.oracle.com/thejavatuto...java_web_start http://docs.oracle.com/javase/tutori...ileSyntax.html
<icon href="biv.gif" kind="splash"/>
Eso si:
"The JAR file with your application is stored on the web server in a location specified by the codebase value in the JNLP file. The path you specify for your splash image is relative to the codebase value. So for example, in the JNLP file above, the file mysplash.jpg needs to be stored in the directory specified by the codebase."
En la misma web te viene incluso un ejemplo.
Un saludo