Splash screens can be created with any paint program (like good old MS Paint, photoshop, paintshop pro and so on) or vector drawing program (like coreldraw) that allows you to export to jpg or png.
Hud screens with transparency need a paint program or vector drawing program that can export a picture with either 32bit tga or png with tranparency option.
I do create all of my pictures and so on with the tools from Serif. They're very affordable and powerfull. The attached picture of a menu for my latest fpsc project (a Dutch Children's Bible Game) was made with Serif DrawPlus 7.
You can get their tools (some older but good working versions) for FREE here:
http://www.freeserifsoftware.com/
There you'll find some very helpfull free tools for FPSC:
* PhotoPlus 6.0 - Photo and Image Editing. Good for creating textures and huds, texts, splash-screens and so on
* DrawPlus 4.0 - Graphic Design and Vector Drawing. Good for working on splash-screens and such
* 3DPlus 2.0 - 3D Animation and Modeling. Excellent for creating 3D text effects for your menu texts
Also there is:
* PagePlus SE - Desktop Publishing
* WebPlus 6.0 - Web Site Design & Publishing
A great free selection of tools
FPSC is way to cool, you can create even more then a fps with it!