Splash screens are meant for programmes that take a lot of time to load. By loading and showing the splash screen first, which can be done rather quickly because it's only a small window, users know something is happening and they won't think "Why isn't PSP loading? Ah well, I'll just try to start it again.", thus loading the program multiple times before the first copy actually shows up.
As pointed out, mIRC loads so fast it doesn't need a splash screen. (just as very old PSP versions wouldn't need it anymore on fast pc's)
If someone came up with a really cool splash screen though, I wouldn't mind seeing it a few times before turning it off